Gaming and television are forms of escapism, and people who are depressed by their very nature seek escapism. It's just that games oftentimes include social elements that involve even fairly anti-social people. Things like people playing MMOs with "friends from all over tghe world" while sitting in a room, staring at a screen, used to be mocked, but it's becoming increasingly understood that there is some truth to this. Although I will also point out that there IS a distinct differance between an online friend and one in real
Depression in general is a result of our society. There can only be a tiny percentage of winners compared to all of the "losers" in life's rat race. Kids who grow up wanting to be a Lawyer, Doctor, President, or Astronaut, later turn out to be the assistant manager at some fast food joint, security guard, or 35 year old clerk at a store like Wal*Mart. Needless to say the pointless tedium of a "real" existance and simply passing time until death, depresses people. Television probably increases this depression by generally showing people a fairly "ideal" life through sitcoms and such, where the problems are usually just there for dramatic tension. A nice house, decent job, cute wife, adorable kids, all staples of what the TV shows people as being normal, and for some depressed loser worried about making the rent on his single-bedroom cubicle while working pumping gas, that's just going to make him feel worse. Video games in comparison feature situations so fantastic that they defy easy direct comparison to reality, and in many cases when online bring one guy seeking escapism into contact with another guy seeking escapism, both of whom are in simialr situations, and wind up not feeling quite as alone.
Such are my thoughts