Stress (and financial instability) has its own set of health problems, but that's not depression. Depression has more mundane physical and neurological causes, whereas stress disorders are caused by the pressures of difficult lifestyles like running a business on your last nickel or being ultraompetitive in your career or being a soldier at war.
I would say the stress is the biggest for SaaS type of software products, as someone posted a video here about "Constant Contact", it's described as the slow ramp of death because it takes so long and hard to reach that magic upward slope.
These are all just my magical assumptions based on my own situation and experience. I'm sure there's ton of positive, empathetic, emotionally intelligent coder/hacker/entrepreneurs although there's lot of Aspies, who studies have shown to be greater risk of depression.