I think we'd be ignoring the obvious if we didn't notice that many people involved in murder-suicides, in which they kill others and then take their own lives, seem to be suffering from some sort of mental illness, including depression. In fact, a 2009 literature review appears to confirm this observation, finding that anywhere from 19-65 percent of persons who committed murder-suicides were suffering from depression. In addition, one study found that 80 percent of the people studied had some sort of mental illness.
But despite the attention given by the media whenever a tragedy like this occurs, murder-suicides are quite rare. In fact, the incidence rate for murder-suicide has historically been quite low: this same literature review places it in the range of 0.2-0.3 persons per 100,000.
Although depression has been linked to murder-suicide, it's important to note that this association doesn't mean that people with depression are dangerous: most people who have depression never harm anyone. It's only in rare instances, when certain risk factors — such as depression, substance abuse, the presence of other mental illness, domestic violence, bullying, male gender, being middle-aged, having access to a gun or the breakup of a relationship — come together in such a way that a vulnerable person starts to feel as if he has no other options, and may resort to violence.
The fact is that depressed people are more likely to hurt themselves, not others. According to the National Institute of Mental Health, the overall suicide incidence rate in the United States is 11.3 persons per 100,000, a figure that's significantly higher than the estimated incidence rate for murder-suicide.
If you know someone who is severely depressed and is talking about wanting to hurt himself or others, it's important to take it seriously and get him the help that he needs. Laws vary from state-to-state, but it may be possible for you, or someone close to him, to have him involuntarily committed to a mental hospital — both for his own safety and the safety of others.
Eliason, Scott. "Murder-Suicide: A Review of the Recent Literature." Journal of the American Academy of Psychiatry and the Law 37.3 (September 2009): 371-376.
"Suicide in the U.S.: Statistics and Prevention." National Institute of Mental Health. National Institutes of Health. Accessed: December 30, 2012.