Edit: as commented by Brian Donovan, the two words suggested below seem to be archaic. The best candidate could be a depressed person or depressed people in plural which are more broadly used nowadays.
Melancholiac is a person:
suffering from melancholia or depression: He argues that the melancholiac's self-loathing disguises a hostility towards the lost, beloved object, indicating an underlying ambivalence towards it.
Depressive could also be used:
A person suffering from or tending to suffer from depression:
Phase-advancing sleep may be a useful treatment for depressives who eschew medication.
[Oxford Online Dictionary]
a mental condition and especially a manic-depressive condition
characterized by extreme depression, bodily complaints, and often
hallucinations and delusions