It's likely not wise to have a one size fits all approach. I've been in depression in a really bad work/life situation before, definitely beyond the "sadness" you describe. My immune system was compromised, I had an autoimmune flare, I quit work, and slowly became better both physically and mentally.

Then again I think I was very fortunate to have an externally driven depression that I could distance myself from (if I were broke and didn't have parents to support me, who knows if I could have had the courage to quit).