What is the cause of depression?

Primarily, it appears to be a chemical imbalance, though too little is truly known about it to say to what extent, so treatments and diagnosis is based largely on theory and examined in psychological, psycho-social, and biological terms..
There are multiple types of depressions, ranging from unipolar, to bipolar, to psychotic, all of which function and are treated in different ways. Unipolar, or major, depression is the what is frequently referred to, and the most common and best understood.
Biologically focus is on monoamine chemicals, which assist in communication between nerve cells. These are serotonin, dopamine, and norepinephrine. Antidepressants work to increase the levels of these chemicals, most notably serotonin (SSRI antidepressant medications), which is attributed to your "drive" to stay positive and focused in your day-to-day ventures.

there's also the mental part, where people never learn to deal with the bad things in their lives. This causes the bad feelings to build up and get worse..