I am not sure if we are prone to depression necessarily but I think because we feel so much and are so intuitive, when combined together, we can end up feeling a lot of the world’s energy, turmoil, and the health of others. So we may or may not be more prone to depression, but we are prone to feeling the emotions of others and the world which I think can contribute to this.
Reference: https://www.quora.com/Are-INFJs-prone-to-depression-Why-why-not