the differences I would say are so slight but this is my persective, I hope it helps:
--depressive is the possible characteristic or quality description of something, it's like the state of being. depressive: something has the ability to cause depression
--depressing can be used as an adjective as well but it is more of an active adjective, as in something leads to being depressed. something depressing is not only has the ability but actively is causing depression.
for future reference, I would say knowing the rules of suffixes -IVE vs -ING will be helpful. '-IVE' is describes an ability, quality, a tendency of something; '-ING' is about something actually happening.