Depression is often temporary and can often be treated.
Losing a leg is permanent in spite of possibly getting an artificial leg. Losing a leg could mean losing out on relationships and partaking in many activities.
I've been depressed.
Many would say I'm still depressed... but I've been through a lot of things that have been very, very difficult and I'm above average intelligence so finding anyone who I don't think is a complete idiot is hard and makes it very difficult to find anyone who actually understands me or to whom I can have what I would call an intelligent discussion.
But, in the end, I'd rather be depressed than lose a leg or have any kind of serious body injury.