Best anime to watch when depressed?

Completely depends on your preferences.

I'd say something from Ghibli. But honestly, my comfort anime always has been Mushishi.

serial experiment lain

The iyashikei genre may be for you. Otherwise I guess it depends on what your preferences are in general, what your boundaries/triggers are, and how you like to deal with your feelings, cause I can personally vouch for everything from magical girl to idol to love comedy to psychological etc as things to watch specifically while feeling depressed.

I guess if I have to name a specific title, I'll say that at my own lowest point, Sailor Moon was my own comfort watching.

Asobi Asobase is hilarious

Iyashikei anime are my go-to anime for when I need something relaxed and uplifting!

Yuru Camp

Non Non Biyori

Mitsuboshi Colors

Serial Experiments: Lain

Bloom Into You, Twelve Kingdoms. Watch FLCL and Flip Flappers when you're coming out of it.

Edit: train to the end of the world is also a good choice.

Danganronpa if you want to get cheered up(and have that kind of humor), but if opposite, definitely Serial Experiments Lain.

maybe light comedy like osomatsu-san for example...japanese idea of humor is very strange, but that anime is funny

If you're looking for something to cheer you up "Sora yori mo Tooi Basho" is nice. Otherwise anything Ghibli.

Victory Gundam

in a weird way, maybe evangelion. It's depressing, but it's comforting in a way too.

It's Nastume's Book of Friends for me

Gurren Lagann strangely helped me going out of a bad trip. You don't need to believe in yourself, believe in me that I believe in you!

Haibane Renmei

Royal Space Force: The Wings of Honnêamise

Despite the name the short and skinny of it is that it's a young man in a unique world finding something that inspires him; space.

If romance is not a trigger, Kaguya-Sama ("love is war") is quite a funny and wholesome romcom.

Haiyore Nyaruko-san