As far as I know, your peeps can't die from being depressed or sad. If you keep giving them fruit and candy, praising them, etc. they should start to perk up. Maybe giving them gifts from the store like movies, story books, and other things like that might help too, and upgrading the house can help cheer them up. Just take care of them and keep them healthy and they should start feeling better.
Also, just curious... what happened to make them depressed in the first place?