Clearly Steve Rogers doesn't suffer from depression? I don't really know what you're looking for here. The established him pretty early on as the kind of person who could have the whole world against him and he will never give up and never stop fighting. He'll always get back up and keep going no matter how bleak shit is and will help everyone he can along the way. Even his contentions with Tony stem from that drive. He was not willing to compromise his beliefs for anything, and would rather die fighting for all that he is than sacrifice even one part of it. Some people just don't break. At least not outwardly or in any quantifiable way that matters for this discussion.
I don't know where the insistence on comparing Thor with him is coming from either. A better comparison for Thor would probably be Stark overall. Both in terms of their early lives, parts of their personalities and the kinds of shit they've had to deal with.