Can ducks get depressed?

I would say he is more scared than depressed. I think you are going to have to be creative to get him to feel more comfortable and for the other ones to accept him.
First of all, is he the only boy? If not, then the other drake might be unhappy that he is there and be intimidating him. It is not easy for an established drake to accept another one into the flock. He is not being mean, just being a normal drake and it will do no good to be angry with him. He may never accept him and if he gets older and challenges the first drake, you may have a nasty fighting situation on your hands.
So, if you have a way to give him his own space with a mellow female, that might be best. If he is the only boy, then you can just keep him segregated from the girls by way of a fence, but allow him to see and hear them and interact through the fence. Once they get used to him, then you can try reintroducing them.
I would really be careful with leaving him unattended with the others. They could hurt him badly. You have to remember that they are animals and think that way and you have introduced an interloper into the flock. Often I read that someone makes an error in judgement introducing their young ducks and then is furious with the established ducks when they react normally. That's not fair.
I have had issues with introducing more girls into my flock, but I only have one drake. I just have had to keep them separated one way or the other until it is safe to let them interact. There is always a lot of commotion, but I mostly get full grown, or almost grown ducks, so they are a bit safer. I would be cautious with a baby.
Good luck

 

X2!!