As reported in the IFT Weekly newsletter:
IFT Weekly Newsletter article

A study to be presented at the American Academy of Neurology’s 65th Annual Meeting in San Diego, Calif., March 16–23, shows that drinking sweetened beverages, especially diet drinks, may be associated with an increased risk of depression in adults. However, drinking coffee may be tied to a slightly lower risk. 

Any time you hear claims about “X is associated to Y”, you should remember that a correlation does not mean a causation. Example: studies show that people who get less than 6 hours of sleep per night have a higher risk of health problems and tend to die younger than those that get more sleep. The question is are these night-owls dying younger because of the lack of sleep or are they dying because they’re working two full-time jobs or jobs that are incredibly stressful–thus, their lives are too hectic to allow for decent sleep and it’s the STRESS that’s killing them?

In this case, we need to look at the details of this particular study:
* The study involved 263,925 people between the ages of 50 and 71 at enrollment
>>>This age group is not young, and not typically active; other studies have shown that exercise increases well-being because it releases endorphins and boosts both the mood and the immune system–already I have doubts about the claims of this study

*From 1995 to 1996, consumption of drinks such as soda, tea, fruit punch, and coffee was evaluated
>>>How was the consumption evaluated? Some methods are more accurate than others. For example Food Frequency Questionaires (FFQs) are usually given to patients in these types of studies. FFQs ask questions such as, “In the last year, how often do you consume food A: Less than 1/day, 1-3/day, More than 3/day?”
An alternative to the FFQ is the food diary, where patients are asked to record everything they eat and drink for a certain period, usually 24-48 hours. The problem with food diaries is that someone may record an atypical day or weekend, and those results are interpreted as the patient’s normal habits.
Published studies, such as this one in the European Journal of Clinical Nutrition demonstrate that FFQs are a good, valid method. The press release does not say whether FFQs where used to evaluate beverage intakes in the study participants

* About 10 years later, researchers asked the participants whether they had been diagnosed with depression since the year 2000. A total of 11,311 depression diagnoses were made.
People who drank more than four cans or cups per day of soda were 30% more likely to develop depression than those who drank no soda. Those who drank four cans of fruit punch per day were about 38% more likely to develop depression than those who did not drink sweetened drinks. People who drank four cups of coffee per day were about 10% less likely to develop depression than those who drank no coffee. The risk appeared to be greater for people who drank diet than regular soda, diet than regular fruit punches, and for diet than regular iced tea. 
>>>Depression is a serious condition that affects more than just the individual with depression. I do not in any way mean to mock this condition, those who have been diagnosed with it or who are at risk for developing it. I only wish to point out one part of this study press release that caught my attention: more than four cans or cups per day of soda 
Four cups or cans of soda is not a small amount of soda, in fact this significant consumption of soda is often attributed to OBESITY. That’s what this study from the American Journal of Clinical Nutrition found. The authors of this study did a systematic review, meaning they looked at all the articles that have been published on the topic and determined the consensus among them. They found, “The weight of epidemiologic and experimental evidence indicates that a greater consumption of SSBs is associated with weight gain and obesity.”

 So here is my concern:
Among the people in this study that consumed more than four cans or cups per day of soda and were diagnosed with depression, how many became depressed because they became obese? How many patients were already obese and is that why the “risk appeared to be greater for people who drank diet than regular soda”?

Furthermore, this study should not be used by those who wish to claim that no-calorie sweeteners used in diet drinks lead to obesity and/or depression, because we don’t have any data on what types of sweeteners were used in the four cans of soda these patients were drinking every day.

BOTTOM LINE: This is an interesting study, one that is sure to catch the attention of many news and media outlets. HOWEVER, further inspection of this study brings up more questions than answers.
Press Release