I'd be interested to know why necessarily it works for depression

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I mean thinner blood from Aspirin, wouldn't reduce psychological effects I wouldn't have thought, as depression is a mental thing, I don't see a connection to depression with blood pressure, Hypertention or anything like that.
Same with Caffeine. It's a mild Heart stimulant as you know, but even if it gets you a bit wired, or gives you more focus, I still don't see an obvious link with depression.
So that just leaves the Fat Burner, but that just increases Heart rate, potentially depletes Water faster, and "may" burn Calories, so the only link I can see there, would be reduced depression from weight loss, but the diet and exercise regime would see to that. I doubt the Ephedrine would do squat to help you lose even 0.5lb.
Not trying to criticise, just genuinely curious about your statement, as it's not something I've heard before, to my recollection

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A good body comes from hard work.