Depends on what you mean by "depressed."
To give you an honest reply, I'd say no, I would never make fun of a depressed person. However, I may say something snarky toward an individual who is overdramatic and self-absorbed with an insignificant problem. Let me give you some examples:
1) I won't pretend to understand the trials of my elders, but there is a man at work who is married and has 5 kids. He has to work two jobs and his wife doesn't work because the kids are still very young. So he's dead-tired all the time and dragging himself around to get the job done. His wife's ex-husband refuses to pay child support, so things are tough. Sometimes he can't even eat lunch because he can't afford it. All the stress is bad for their relationship and divorce is a serious thought for him right now. As you might guess, he is very depressed, and he complains. I can't understand his situation, but I can understand that he is very depressed, because I see him suffer.
2) My aunt just died and left behind three children, one is about 20 and the others are still little kids. The oldest is barely holding together. His best friend had just died, and now his mother. Just before his mother died, his parents had split up. Now he is living alone and can't find time to recover from his losses because he's too busy trying to be there for his younger siblings, and THEY are falling apart mentally. THIS guy is depressed.
3) My neighbor at my old house was around 50 or something and had a mentally handicapped daughter. The daughter was around 30, but 15 mentally. This woman loved her daughter very much but was still raising an adult woman. She had no life because of it, and was always depressed. She ultimately decided to put her daughter in a home for the mentally handicapped because she was no longer physically able to care for her. As you might imagine, she was very depressed. I felt really bad for her, and she was always outside crying on her porch.
4) I've met a lot of people are are depressed due to hormonal/chemical imbalances rather than life situations, and I feel just as bad for these people because they don't have control over it and have to take medication just to be normal. A lot of the time, it doesn't help, or they spend a lot of time screwing with their body's balances just to find the right dose. It's terrible for them. :/
THESE kinds of things... I would NEVER make fun of them for. And sure there are a lot of less dramatic situations where people are just depressed because they got dumped, they failed a test, something was lost or stolen, etc. I can understand those things too. But sometimes people say they're "depressed" because their parents are OMGSOMEAN or they got in a stupid fight with their friends or other stuff that really isn't a big deal. If they're sad, that's fine. But if they get all whiny about it and won't shut up about it when it's something that's not a big deal.... yeah, then I might point out that they're being a whiner and should look at the world around them and find something to be happy about. Things like that hardly warrant being labeled as "depressed." I feel that depression is a serious issue, and little problems shouldn't be labeled as such so easily.