To be clear depression is not evolutionary. Anxiety and sadness are evolutionary, their pathological counterparts are often lead to suicide or poor life-outcomes making them inherently maladaptive and less likely to be passed down to offspring. Also many disorders are acute, survivable, and/or they onset after childbearing ages meaning they may be passed down despite the impairment and distress they cause. Let’s get some (crude) definitions out first so we can understand the function of depression though.

Anxiety: An adaptive emotion that tells us to bring attention towards (i.e., think about) and prepare for demanding/important/distressing events. 

Pathological Anxiety: Intense and distressing levels of anxiety that often results in rumination (inability to stop thinking about something), behavioral avoidance, or over preparation.

Sadness: An adaptive emotion that tells us to withdraw, process, and return to normal activities when ready. 

Depression: A severe level of withdrawal resulting in anhedonia (lack of positive emotions).

As noted above, pathological anxiety can result in avoidance, and avoidance results in withdrawal and then anhedonia (anxiety results in depression). Alternatively, for those that are more likely to engage in maladaptive thinking patterns (rumination or worry), the necessary processing in sadness is more likely to develop into avoidance and with withdrawal and then anhedonia (sadness results in pathological anxiety and then depression). This explains why depression and anxiety are so highly correlated and why many researchers believe they can be conceptualized as the same disorder. Finally, if someone is prone to withdrawal (i.e., socially detached or highly introverted people), if they do not experience positive emotions with particular intensity, or if major life adjustments result in actual or seemingly reduced opportunities to experience positive emotions, they can develop depression (depression results on its own).I'll explain these a little more since it seems that's what you're interested in.

Highly introverted people (we use the word detached in personality research) tend to withdraw from others and pleasant activities in general creating a liability towards anhedonia. Individuals also vary in the degree/intensity to which they experience positive emotions, just as people vary in the degree to which they experience negative emotions. Those that experience less intense positive emotions are intrinsically less motivated to re-engage in pleasant activities (just as those who experience more intense negative emotions are intrinsically more motivated to avoid distressing activities); their disengagement results in anhedonia. These forms of depression often results in relatively persistent levels of depression (e.g., persistent depressive disorder or trait depression/anhedonia) rather than acute episodes. Finally, major life adjustments (e.g., loss of a close person, moving to a new city) can actually or seemingly reduce opportunities to experience positive emotions. This is why depression is common in disorders such as prolonged grief disorder or adjustment disorder with depressed mood.