I did - mildly while I was an active JW and then went through a severe bout during the process of leaving. I liken it to going through a divorce because you found out the love of your life was not who you thought he/she was and that you'd been living a lie for years. It's more like a mourning process I think. At least it was for me.
I sought help and got it! It took awhile to get over the hurt. Now the only time I feel depressed is when my JW family deliberately slanders my name because I no longer believe the lie. Even so, what once used to be a giant boulder blocking my path is now a pebble I can kick out of my way. I'm grateful for that.