I explained back here what I mean by nihilism. There is a guy (atheist) that I know of whom I "converted" to nihilism. Every since then he keeps on telling me how depressing everything is. The thing is that being a rational skeptic and a nihilist does not lead to depression. I am perfectly happy even though I recognize that my life is meaningless.
I do have an explaination to why many nihilists become depressed. Consider this analogy. A rich man loses millions of dollars and now become an average man. He will be very depressed. But why should he be depressed about, he is still not poor! The reason why he becomes depressed is because he had something and then he lost it. If one is poor and stays poor throughout his life that is not going to depress him because he does not lose anything.
Children are nihilists. They do not believe in any purpose to their lives nor do they even care. Tell a child, "you have no purpose to be here". Will the child care? No, he shall ask if he can play with his toys. That is exactly my position to nihilism. I reoognize the truth, but the truth does not bother me. It does not bother me because I do not see myself as losing something.
Adults, however, are the ones that get depressed. They create imaginary values and transcendental morals by their own madness. Once they realize their delusion they shall become depressed. They have something to look up to.
I see a big black empty screen. Most people put imaginry pictures in front of this screen and live their life around this new picture. Once this picture is shattered and they realize the empty dark void behind it only then do they become depressed. Depressed because they have lost something that they strongly valued.
This is the only reason why nihilism can be depression, because of the imaginary value lost. However, it need not be depressing. It doth not depress me. I live with it everyday and I am fine.