Prevalence is the proportion of people in a population who have a condition, whereas incidence is the frequency or rate at which people "at risk" (non-depressed) become depressed over time. Recently, Jian Li Wang (a psychiatric epidemiologist at the University of Calgary) has examined the incidence of major depression in Canada. His analysis confirms that the condition is very common - over a six year period, nearly 6% of the population developed a new episode of major depression. The incidence was higher in women and in younger age groups, but the strongest risk factor was having a family history of major depression.
A link to the abstract is here.