In my talk on academic career advice I mentioned the importance of mental health issues, which struck a chord with many. The anecdotal evidence is that this is a significant problem among people in academia at all career stages, but particularly among graduate students.
Academics (on average) tend to be highly gifted, driven, creative, critical, introspective, and sensitive. This makes them more vulnerable to mental illness, particularly depression, than the average person.
Here are just a few prominent examples, at the more extreme end of the spectrum.
John Nash (A Beautiful Mind) was a young faculty member at MIT when he was afflicted with schizophrenia. He never returned to any form of employment. In 1994, he received the Nobel Prize in Economics for work laying founds in game theory, completed in his Princeton Ph.D in mathematics.
Ludwig Boltzmann and Paul Ehrenfest both suffered from depression and committed suicide.
In 2007, the Times Higher Education Guide listed Michel Foucault as the most cited intellectual in the humanities. He suffered from severe depression as an undergraduate. He became famous for Madness and Civilization, an abridged version of Folie et déraison: Histoire de la folie à l'âge classique, which originated in his doctoral thesis.
So, protect your mental health. Here are some questionnaires to evaluate whether you are clinically depressed.