Depression has many possible causes, family history, pessimistic personality, trauma, and other psychological disorders. Chronic stress increases the risk of developing depression if you aren't managing with it.
You can’t get rid of stress, because it is a normal reaction to different situations in your life. You can’t say if it is bad or not to experience stress – it is alright. You can say it is a problem when it goes on and on ruining you plans, affects you job, relations etc. and you are not solving it.
If you let stress continue, it will exhaust you. Low productivity, irritability, as a result you achieve problems in each and every aspect of your life. And this is a direct road to depression.
There are some useful techniques to dispose of extra-stress. You can try physical exercises, yoga, do something creative, entertain yourself – hobbies are really helpful for such purposes, identify the problems causing your stress and solve them as far as possible . If it seems not to work, see your doctor.