Hmm.
Interesting question, and I think that the answer is yes. Or at least, partly.
It certainly effects certain types of depression. For example, the quintessential 'stupid' person will likely go through life for quite a while, and find a niche. But he'll have the proverbial feeling of unsatisfaction. And such a person would have no idea what it was, and would likely be medicated.
However, the 'smart' person, generally of the NT variety, tends to suffer from existentialism. Knowing too much, and all that jazz. The 'smart' person may suffer the 'ache' depression, but usually smarter people are more adept at finding out was is missing and being attentive in general. However, the smarter one becomes, the more acutely aware they become of their own meaninglessness. This causes the 'smart' person to spiral into a depression of a slightly darker variety.
Also, very smart people often think along abnormal mental lines. This causes them to be ostracized from society, which is a surefire way to fire off the human pack-animal depression centers.
So in short, yes, I think that intelligence is a direct function to depression. At the very least it has an effect.