smoking in a depressed state isn't the best idea.
The receptors that it affects, cause you to latch onto ideas and moods and dive into them to levels you never knew existed. That's why someone who's stoned will randomly stare at a wall or the floor.
They didn't zone out, their mind is simply chasing an idea it found interesting. You kinda lose concept of time when you do this, I've gone into states like that where I felt I was just looking at the ceiling for an hour, only to realize 3-4 minutes had passed.
So by going into a state like that while depressed, your mind is going to focus on and chase those depressing thoughts and feelings, it's going to accentuate your current mood and mind frame.
Smoke with friends, while doing something fun. Watching a movie, playing a game, or just hanging out chatting. These are things that give your mind pleasure, and in turn, smoking will cause you to delve into happy thoughts and feeling.
just my 2c. smoking is different for everyone though. make sure you're getting stuff that isn't mixed with stuff that's NOT weed, and make sure you're not smoking that synthetic crap. You may as well roll up rat poison and smoke that if you're using synthetic.