To be fair, alcohol (ab)use is highly correlated with depression symptoms. The nervous system depression, however, is not necessarily the same mechanism that causes psychological depression. (lots of available articles on alcohol and depression, e.g., http://www.ncbi.nlm.nih.gov/pubmed?term=alcohol%20depression)
"The nervous system depression, however, is not necessarily the same mechanism that causes psychological depression."
Alcohol causes depression because of its longterm effects on the brain, as well as the fact that it causes cytokine inflammation. (And possibly for other reasons as well.) This definitely has nothing to do with the fact that it temporarily slows down your heart rate and breathing, otherwise we'd all be suicidal every morning when we woke up.
That's like when people think that alcohol makes you depressed because it's a depressant.