Doris Kearns Goodwin discusses this at length in the first couple of chapters of her book 'Team of Rivals,' and actually tackles this issue head-on. I don't have my copy handy, but IIRC she refutes the idea that Lincoln was clinically depressed, and instead theorizes that he went through brief periods of melancholy, inspired in no small part by the tragedies that befell the poor guy in regular intervals throughout his life. Lincoln consequently developed a very black sense of humor, something many of the people who knew him remarked on. This seemed to help him navigate these darker periods in his life, which unquestionably put him in a black mood at times (but being down in the dumps for entirely justifiable reasons is hardly clinical depression). The guy lost his mother at a young age, and as a young adult, he also lost a woman who he was deeply in love with (those that knew him said that Lincoln was kind of mentally unreachable for a year or two afterwards, and that he kept to himself and brooded over the loss heavily). As an adult, he lost two young sons to illness, and had to deal with an increasingly bi-polar wide as a result (many people do believe that Mary Todd probably did suffer from some form of bi-polar personality disorder). Lincoln himself admitted that he was overcome by melancholy at times as a result of these personal loses, but to diagnose him as clinically depressed is a bit of a stretch.

With the exception of the loss of his "girlfriend" (it's a crude term for that relationship, but it is probably the most accurate in modern context) in his early adult years, you don't get a picture of Lincoln as the classically depressed individual who exhibits the famous or most notable symptoms. In other words, although the guy may have gone through periods of melancholy, it never seemed to incapacitate or otherwise interrupt his personal, political, or professional trajectories. He didn't manifest physical ailments from his psychological "depression" (again, I agree with the camp that says he didn't suffer from it); he didn't suffer periods of prolonged inactivity, inflict self-harm, or express feeling of low self-esteem in a way that would make such a diagnosis appropriate.

Certainly, in letters and in recollections of colleagues, there is evidence that Lincoln went through periods of self-doubt, expressed disappointment in events (personally and vis a vis the ACW), but the guy always powered through and kept working. And by working, I mean Lincoln was playing the D.C. political game, analyzing broad military strategy, managing his cabinet, orchestrating election victories, working on legislation: the whole 9. This is hardly the picture of a clinically depressed person whose illness has manifested into a diagnosable condition.

Could he have been depressed, and just been very good at managing his symptoms? Sure. But does the evidence we have paint a clear-cut picture of a clinically depressed individual? No, not really.

[For more reading on this I'd suggest Jay Winik's 'April, 1865' or Bruce Catton's 'Mr. Lincoln's Army' as well as Goodwin, mentioned above]