Low blood levels of magnesium or low intake of magnesium from the diet have each been associated with an increased risk of depression. In addition, several preliminary studies suggest that magnesium supplementation may help reduce symptoms of depression -- although better studies are needed to show if magnesium supplements are truly effective. More details, including dosage, are found in the in the What It Does section of the Magnesium Supplements Review.
It would seem prudent to make sure you are getting adequate amounts of magnesium from your diet.
Be aware that certain medical conditions and medications can cause low magnesium levels in the body (see Magnesium deficiency and insufficiency).