I haven't really tried it while depressed at all, but one time when I was dealing i snorted some K and i just thought about my whole life and how i should stop it ASAP. Shit was introspective as fuck, i don't think i would experience that on a genuine psych. I wasn't really getting scared from the thoughts/visuals in my head, it was like i was just being helped by the K....
I can see why it would help in depressive states, see shit from a different perspective (in a different way than acid n shit). A more calm approach to everything