The first stress-depression link is an obvious one. Statistically, stress and the onset of depression go together. People who are undergoing a lot of life stressors are more likely to succumb to depression and people in depression are more likely to have undergone a recent significant stressor.
Laboratory studies also link stress and the symptoms of depression. Stress a lab rat and it becomes anhedonic—specifically, the threshold for perceiving pleasure has been raised, just as in a person suffering from depression.
The body’s hormonal response to stress (particularly the glucocorticoids hormones) affects the neurotransmitters and their metabolism. Specifically, glucocorticoids cause a change in the amounts of neurotransmitters synthesized, how fast it is broken down, how many receptors are there for each neurotransmitter, how well the receptors work and so on.