According to the World Health Organization, depression is currently the leading cause of disability, which is of great concern worldwide; however there is much dispute about depression and its causes. This article raises the hypothesis that depression could be related to an increase or inflation of ego-consciousness, which, in turn, is inseparable from the development of modernity. The ‘hero’, symbol of this historical process of self-consciousness and autonomy, stands now wearied and disoriented. The paper outlines how, in this cultural scene, certain ideas from Carl Jung’s and James Hillman’s depth psychologies may be useful in addressing the issue: the rediscovery of figures of the other through the analysis of the unconscious (Jung) and associating with others in groups imbued with communal sense (Hillman) could help the depressed individual to mitigate his or her inflated ego-consciousness. These are two complementary ways of experiencing the conglomerate nature of the self, thus promoting the process of individuation.