They share the same genetic 'glitches'. Specifically in the calcium-channel signaling genes. In most mental health disorders, there is a genetic predisposition, combined with environmental factors to bring about onset.
Depression is something of a different beast. I don't quite know how to explain it, but it's become something of a nebulous disorder.
I wonder if anyone feels sad anymore? I don't think I've heard anyone say 'I feel sad' since childhood. Adults seem to say 'I feel depressed' instead. As if depression is the adult version of sad.