Isn't a depression just a depression
I was diagnosed with major depression.
What's the difference

Major depression is what is also referred to as Clinical Depression. It has biological changes associated with it - it can even be seen on fMRI and can cause loss of grey matter (brain shrinkage).

Other depressions can be a situational or reactive depression. There are even medical depressions resulting from heart disease and some other ailments. And there is a melancholic depression in which a person feels "down" or "blue" but is not incapacitated by it. That can also be called dysthymia.

Oh - and there is bipolar depression which is also different.

Usually, when referring to major depressive disorder, the person has it for no known emotional reason or medical reason, it is severe, and disabling, causing severe stress to the human brain and body.