When the body is under stress, the adrenal gland increases secretion of a hormone called cortisol. Short-term, this hormone can help aid in survival, for example by mobilizing energy reserves. Long-term elevation of cortisol, however, can have detrimental effects.
It is known that in normal people the level of cortisol in the bloodstream peaks in the morning, then decreases as the day progresses. In depressed people, however, cortisol peaks earlier in the morning and does not level off or decrease in the afternoon or evening. Although the exact mechanism that causes depression is uncertain, clinical studies suggest that chronically elevated cortisol may induce clinical depression by somehow affecting central serotonergic neurotransmission.
Heina, A., et. al. "Relationship between cortisol and serotonin metabolites and transporters in alcoholism (correction of alcolholism)." Pharmacopsychiatry 35.4 (2002):127-34.
Tafet, G.E., et. al. "Correlation between cortisol level and serotonin uptake in patients with chronic stress and depression." Cognitive, Affective, & Behavioral Neuroscience 1.4 (2001) :388-393(6).