In general, we speak more about cultural factors or ethnicity than "race". Maybe you could be interested by the following chapter about cultural factors and depression.

https://www.google.com/url?sa=t&source=web&rct=j&url=https://culture-emotion-lab.stanford.edu/sites/default/files/depressionacrossculturetsaicdryder.pdf&ved=2ahUKEwiIy5-Ch-bgAhUo2OAKHb6SAWoQFjADegQIAhAB&usg=AOvVaw11NrYlGZIyUykZgaAeE8cX

There is no racial vulnerability to depression and no genetic vulnerability to depression. The cause of depression is a violation of some reflexes. The imbalance of neurotransmitters is a consequence of a violation of the mechanism of formation of certain reflexes. Imbalance of neurotransmitters leads to depression. It is necessary to restore the normal course of reflexes. There is a massive violation of the mechanism of formation of reflexes in 99% of the population.

Please have a look at these useful RG links and a PDF attachment.

Article Racial and ethnic differences in depression: Current perspectives

Article Racial/Ethnic Differences in Rates of Depression Among Pre-R...

Article Riolo SA, Nguyen TA, Greden JF, King CA. Prevalence of depre...

Article Ethnic/Racial Differences in Depression among U.S. Primary C...

Hello, Major depression and factors associated with depression were more frequent among members of minority groups than among Whites. Elevated depression rates among minority individuals are largely associated with greater health burdens and lack of health insurance, factors amenable to public policy intervention.

I dont think that race leads to depression.