This is one of those questions that may require a couple of years, generous funding and an ethics clearance to answer: Are PhD scholars more susceptible to depression than the rest of the population? Although I could not find any answer to this question, I can speculate that the answer is yes and I can venture to propose a couple of mechanisms that could explain this scenario.
WARNING: this post contains a great deal of speculation
There are many issues to consider such as what is the student's motivation to complete the PhD, what is the student's personality type, and the occurrence of other factors influencing the student's life that can enhance well-being or increase stress.
In relation to the movitation to conduct doctoral studies I would predict that people wanting a career change, enhance skills to increase employability or to get a promotion would be at higher risk of depression than those who are interested in self-improvement or complete their studies as a hobby. This is because there is less as stake for the second group where the PhD is an end on itself while the first group may hope to get a promotion or a better paying job after the time and money invested on the PhD. This would be particularly true for people wanting an academic career, which may depend on their performance during their candidature.
Although I could not find any evidence suggesting that personality types affect academic performance, it would be a fair assumption to expect that a significant proportion of graduate students are high achievers and perfectionists, particulalrly since getting a full scholarship is a competitive processes. Some personality types (sensu MBTI) have been found to have higher susceptibility to depression than others, as discussed in the apallinglly entitled article "Depression is a choice". Further, perfectionists are more susceptible to experience health problems than people with other personality types.
Finally, with the ever decreasing candidature and scholarship duration, the pressure to complete the PhD study "whithin the duration of the scholarship" can lead to a decrease of protective activities such as exercise, regular meals and social interaction. This is exemplified by the plight of Masters students who who were found to experience higher levels of fatigue and associated problems than Doctoral candidates by a study completed at the National Taiwan University. These students would be more likely to juggle study and work, have bigger study loads and shorter deadlines than Doctoral candidates, particulalrly since Masters scholarships, which will allow full-time study, are rarer than their Doctoral counterpats.
In conclussion, if you have the time, the money and access to all those personality and depression questionaires be my guest and tell me if I was way off the mark.