Hard-wired responses. Blame evolution.
Why tears? Normally, after tears are produced by the glands above your eyes, they're transported via a small duct from the eye to the nasal cavity. Since when you cry, the secretion of tears by those glands increases and the capacity of those ducts is limited, the excess tears obey the law of gravity and leave the eye via the only other possible way. Over your face.
Depression is a certain mindset. We don't know how it works, although lowered amounts of certain hormones are likely to blame for many cases of depression.