I personally think Discouraged Ones by Katatonia is one of the most depressive in their entire catalogue (that's pretty much saying something).
...And so death to the falsity of thy former rulers. Thy kingdom of "heaven" burns in a field of fire, and Dentura is the one true God thou must yield thy hearts and souls to in absolute submission. It is his ultimate decree and will unto thee..
I'm on board with the Empyrium suggestion, My Dying Bride as well, particularly the early stuff with the violin.
I think Katatonia's Discouraged Ones is bleak but beautiful at the same time, so I don't know if that's depressing or a sort of finding the beauty in the darkness kind of a thing (then again, I tend to feel that way about a lot of gloomy music.) In any case, I love that album.
Maybe not "the most" depressive, but an album that has not been mentioned yet crosses my mind: The Sins Of Thy Beloved's Lake Of Sorrow. In the symphonic gothic department, this one is definatelly a winner in the depressive, melancholic and dreary department. Johansen's violin does the trick.
I don't find albums dark or depressive, but every now and then I find albums oppressive in the sense of them being a genuinely challenging listen due to how atonal and / or downtrodden they are. I think Xasthur, The Axis Of Perdition and Elend are the bands that spring to mind with regard to some of these traits. It's not just about dissonance either. I listen to plenty of bands who use a lot of dissonance but they don't always have the bleak type of qualities I'm talking about here.
In terms of depressive albums I'd have to say Gris - Il Etait Une Foret wins gold in that category. As for dark albums I'd probably award that to either of Wormphlegm's releases. Having said that, I'm sure my opinion will change in twenty minutes and then again in another twenty. I can never pick something as an absolute in any category
Not really a metal album, just with some metal elements, but Downward Spiral is pretty damn dark and depressing. Other than that, this thread seems to be asking for the doomiest doom metal album, or the blackest black metal album.
I can't think of a darker metal album than diSEMOBWELMENT's "Transcendence into the Peripheral." As far as depressive goes, that's harder to say. My Dying Bride's "Turn Loose The Swans" immediately comes to mind. The aforementioned "Dirt" is a strong contender too as I can only listen to it in that state of mind. And for what it's worth, The Cure's "Pornography", Joy Divison's "Closer" and Swans' "The Great Annihilator" are some of the darkest and most depressing music I've heard, thus far.