I believe either you are mistaken or i haven't understood you well. Let's see which is which.
First, let's define what altering reality means. Am i altering reality by dropping a coin from my window? I'd say so. Am i altering reality by thinking very hard about a person i love/hate? I'd say not. Am i altering reality by acting on my thoughts and, say, counting to five out loud because i'm suddenly afraid i might have lost my voice forever? I'd say yes. Am i altering reality by going back in time and killing my best friend's grandfather? Most people would argue that i am.
The basic premise seems to be that while reality can't be proven to be true for lack of a real falsehood to compare it to, we can alter it in a way that other people can perceive, understand and measure to varying degrees. In other words, reality is at least a shared illusion, and at most the only field we humans have to ourselves.
Having defined reality (if you have a better definition that makes the following definition invalid or absurd, please share it), we can go back to the random questions asked earlier about what is "altering" reality. Simply put, i see altering reality as making a change on it which can be (but isn't necessarily) measured by others.
Now, what is depression? I believe OP said it well. Depression is a disorder which changes the way people see the world. In other words, depression changes our measurement of reality, not reality itself. From this point of view, i'd say no, depression can't actually change reality.
But this conclusion alone is quite naive, in that we are guided by our impulses to change reality, and depression attacks said impulses in a way that makes them behave erratically, often towards impulses of destructiveness. As such, depression alters the beings who alter reality, which is enough grounds to bring back again the question of whether it should be considered a reality-altering agent or not.
Let's try a third view. Do dreams alter reality? The oniric plane is often considered an alternate one from reality, yet we haven't found a (reliable) way to share it yet. Without the peer review of sorts that reality constantly undergoes, we can't call it true or real, but given that it gives us experiences that often leak in our waking world, we can't call it non-existent either. Lots of artistic movements have used their dreams as inspiration for real-life works, which should be enough justification to say that yes, dreams alter reality. Going with that logic, we have demonstrated that a non-true or unreal thing has altered reality, and knowing that the effects of depression are at least as strong if not stronger that the memories/emotions of a dream in our conscious self, we should be able to conclude that depression does alter reality, through us.
(Though if the question asked whether depression is an independent agent that can alter reality on its own, the answer is most likely no)
Finally, this grants us an additional point of view with which to follow up this discovery. If we claim that mental states such as depression have the power to alter reality, then other, smaller things like bodily itches or misrememberances can also do so. If that is so, then where do we draw the line? But i digress, the titular question i have already answered. I'd love to see some opposite points of view.