While "depressed" and "gloomy" both refer to sadness and darkness, they are not interchangeable. In fact, we would say that a rainy, cloudy day is gloomy, or depressING, but a person is dejected or depressED .
A person might be gloomy, too, in disposition and personality, and so spread gloom all around, fitting definition 3a. below.
A day or a thing, however, cannot be "depressed," in regard to feelings.
Here are definitions from the American Heritage Dictionary*:
1. Partially or totally dark, especially dismal and dreary: a damp, gloomy day.
2. Showing or filled with gloom: gloomy faces.
a. Causing or producing gloom; depressing: gloomy news.
b. Marked by hopelessness; very pessimistic: gloomy predictions.
1. Low in spirits; dejected.
2. Suffering from psychological depression.
3. Sunk below the surrounding region the depressed center of a crater.
4. Lower in amount, degree, or position: Oil reserves were at depressed levels because of increasing industrial demands.
a. Sluggish in growth or activity: a depressed sector of the economy.
b. Suffering from social and economic hardship: a depressed region.
6. Botany. Flattened downward, as if pressed from above.
7. Zoology. Flattened along the dorsal and ventral surfaces.
SYNONYMS depressed, blue, dejected, dispirited, downcast, downhearted. These adjectives mean affected or marked by low spirits: depressed by the loss of his job; lonely and blue in a strange city; is dejected but trying to look cheerful; a dispirited and resigned expression on her face; looked downcast after his defeat; a downhearted patient who welcomed visitors.
*The American Heritage Dictionary of the English Language. Fourth Edition. Houghton Mifflin Company. 2003