The 31-year-old has suffered with the condition for years but says that it has understandably been worse since Peaches, 25, died from a heroin overdose earlier this year.
She wrote on Instagram: "I wear a permanent mask so I won't be judged for feeling how I actually feel.
READ: FIFI GELDOF 'WON'T HAVE SISTERS AS BRIDESMAIDS' OUT OF RESPECT FOR PEACHES
"You can't escape it, it just simmers under the surface when it's not hitting you full whack. Which, for obvious reasons, it has done to me for the last few months.
"People wouldn't have the first clue of it to look at me or talk to me, though."
Fifi spoke about her depression following the shocking and sad death of Hollywood actor Robin Williams this week.
READ: PEACHES GELDOF'S SISTERS 'STEP IN TO HELP RAISE HER CHILDREN'
Posting a picture of Robin, Fifi wrote: "Devastated by the news. Depression needs to be taken more seriously. No-one should feel pushed to those actions by their all-encompassing misery.
"Makes me so sad that he had the world crying with laughter whilst drowning in his own tears."
READ: FIFI GELDOF SLAMS CRITICS OF LATE SISTER PEACHES: "F_CK YOU. F_CK OFF"
She later added: "I think this promoted me to want to speak publicly about my own depression which I've suffered from for years. Just a feeble attempt to bring some more awareness and understanding to something that oughtn't be surrounded by such stigma x."
PR executive Fifi then hit out at people who ask her what she has to be sad about, adding: “They haven’t the first f***ing clue what they’re talking about.”