I have depression. So I've talked to my kids about depression for years, so they know what it is, and that they have a risk for it, and how it may or may not affect them.
It's only one of the hard things we've talked about (divorce is another one that we live every day) so they're used to my sitting them down and telling them we need to talk about something that I trust them enough to understand.
You are going to have to have some hard conversations with your kids. I hope you'll talk to them about depression and divorce, even if those don't touch your family as intimately as they touch mine. But you'll talk to them about all sorts of things that happen that we wish we didn't have to confront. The only way for them to learn about the world is either to hear it from you or to live it. And I'm guessing you'd rather have their introduction to the bad things be with you to help. So don't be afraid of the tough conversations, because that's where you build trust. You can do it.
By request: I've been asked to link to my post about my friend Ray's suicide, "Don't go." I wrote it five years ago for Ray, but it's for everyone who's gone or who's ever considered going: http://askmoxie.org/blog/2009/10/dont-go.html