Alcohol is a depressant, meaning it temporarily reduces the ability for the brain to function as it normally would. In depressed individuals, drinking alcohol can actually exacerbate their symptoms, leaving them more depressed than before they drank. If you also happen to drink caffeine, the "highs" felt with caffeine coupled with the "lows" felt with alcohol can mimic the unnatural "ups" and "downs" you have with your depression, often making it worse. (When the physical body is going through this up and down, your mind will follow. Keeping an physical "even-keel" with healthy foods that don't stimulate then depress the body will help calm the mind as well.)
If you are on antidepressants, drinking alcohol is especially bad. Specifically with MAOIs, the combination can be fatal as it can cause a spike in blood pressure leading to stroke. Whether or not you are taking an MAOI or other antidepressant, talk to a health care provider about how much (if any) alcohol is safe for you to consume.