Yes!! Massage is very beneficial for Depression as it increases your parasympathetic nervous system (rest and relax vs. fight/flight!) and your oxytocin levels which is a "feel good" hormone. I have helped a lot of people in my practice with depression.
Many psychotherapists are recognizing the role that therapeutic touch works in counseling and psychotherapies for depression, anxiety, and PTSD. It is an emerging field in both massage and psychotherapies on how the mind/body connection works and how touch can help mental illnesses, like depression.