the number of depressed adults is one thing, the number successfully using sleep deprivation therapy is another
googling "wake therapy" yields a lot of pop articles with the classic numerous studies say, but the studies all -- including the one guzey links in his response -- point out that the effect reverses after a while/a night's sleep. so i mean, if you get depressed once a month, then maybe pulling an all-nighter is fine and this is a godsend. but for chronic depression, which is what i assume "major depression" is... if this is the therapy you choose, say goodbye to your job.
entertainingly, the relevant pdf from guzey's essay is hosted by gwern and has "illegal to host publicly" stamps all over it