Ultimately it all comes to this, that the real cause of [our spiritual depression] is failure to realize our union with Christ. Many seem to think that Christianity just means that we are delivered in the sense that our sins are forgiven. But that is only the beginning, but one aspect of it. Essentially salvation means union with Christ, being one with Christ. As we were one with Adam [in our sinfulness] we are now one with Christ. We have been crucified with Christ - 'I am crucified with Christ,' says Paul. 'All that has happened to Him has happened to me. I am one with Him.' Read the fifth and sixth chapters of Paul's Epistle to the Romans. The teaching is that we have died with Christ, have been buried with Christ, have risen with Christ, are seated in the heavenly places in Christ and with Christ. That is the teaching of the Scriptures. 'You are dead and your life is hid with Christ in God,' (Colossians 3:3). The old man has been crucified and all that belonged to him. His sins have all been dealt with. You are buried with Christ, you are risen with Christ. 'Reckon yourselves then to be dead unto sin but alive unto God through Jesus Christ our Lord,' (Romans 6:11).
Let me sum it up in this way, therefore. You and I - and to me this is one of the great discoveries of the Christian life; I shall never forget the release which realizing this for the first time brought to me - you and I must never look at our past lives; we must never look at any sin in our past life in any way except that which leads us to praise God and to magnify His grace in Christ Jesus. I challenge you to do that. If you look at your past and are depressed by it, if as a result you are feeling miserable as a Christian, you must do what Paul did. 'I was a blasphemer,' he said, but he did not stop at that. Does he then say: 'I am unworthy to be a preacher of the gospel?' In fact he says the exact opposite: 'I thank Christ Jesus our Lord who enabled me, for that He counted me faithful, putting me into ministry, etc.' When Paul looks at the past and sees his sin he does not stay in a corner and say: 'I am not fit to be a Christian, I have done such terrible things.' Not at all. What it does to him, its effect upon him, is to make him praise God. He glories in grace and says: 'And the grace of our Lord was exceeding abundant with faith and love which is in Christ Jesus.'
From Martin Lloyd Jones' Spiritual Depression, pages 74-5