Depression is one of the largest health issues in the U.S. The CDC estimates the prevalence at about 10% of the general population.  (The rate is even higher in middle-aged adults.) Of course, it will come as no surprise, then, that antidepressant medication usage is also at an all-time here as well. A 2011 Harvard Health newsletter reported back in 2011 that:
"14% of non-Hispanic white people take antidepressants compared with just 4% of non-Hispanic blacks and 3% of Mexican Americans" 
As a side note, an amazing stat from the same newsletter was that almost one in four American women in their 40's and 50's are taking an antidepressant. Probably the biggest player is this new movement is Prozac, the blockbuster drug whose name is synonymous with antidepressants. Even though it is a fairly old drug, around 25 million prescriptions are still fulfilled each year!
Unfortunately, tweaking the brain is not an easy thing to do and these medications are rife with side effects, including sexual, hormonal and erectile. We have had a number of men visit the Peak Testosterone Forum and complain about these kind of issues. One of our senior posters himself had a very bad experience Prozac for example:
"Now, the worst case here wouldn't be 50:50 (although that would arguably have pretty bad sides for males or females), but when both T and E approach zero, which is where I was for a few weeks after a doctor fucked up and put me on fluoxetine, which zipped my already virtually nonexistent T level, and with it my E2. Ungodly terrible sides, including anxiety, suicidal depression, fatigue, and insomnia like you wouldn't believe. " 
So what causes all the sexual (and in men erectile) dysfunction with Prozac (and undoubtedly some of the other antidepressants)? Number one on the list may be the fact that it apparently often decreases testosterone levels, something I discuss in my page on Testosterone and Prozac. However, another root cause is that Prozac often increases prolactin in men (and women). In fact, one study found the following:
"Specifically, 2 (4.5%) of 44 men and 8 (22.2%) of 36 women with normal prolactin levels at baseline developed hyperprolactinemia following treatment with fluoxetine." 
Now the percentage of men may be relatively small, but keep in mind that a) the study was small and b) the threshold was 16.5 ng/ml. This is fairly high prolactin in my opinion. The abstract also points out that the average prolactin level actually increased from 6.4 to 10.0, a 56% increase. Now, from what I have seen on the forum, often men with even modest increases in prolactin sometimes experience lowered libido and some erectile dysfunction with similar numbers.
Remember that, in general, increasing prolactin means decreasing dopamine and that is what an orgasm is all about, eh? I have a page on men that Cannot Orgasm that explains how elevated prolactin can cause anorgasmia. So, yes, only 5% of the men went over the arbitrary threshold of 16.5, but a much higher percentage likely experienced some issues from the prolactin increase.
Why does Prozac increase prolactin so consistently? It likely has to do with serotonin. It is no secret that Prozac and other SSRI's raise serotonin levels and, in turn, sertotonin controls prolactin. Researchers found out very early, via an animal study, that Prozac increases prolactin not by decreasing dopamine but by but stimulating secretion of prolactin releasing factor. 
CAUTION: Do not go off any medication without discussing it first with your doctor. SSRI's can be particularly problematic as some researchers have noted extreme depression during transitional phases, i.e. stopping treatment, switching medications, etc.
NOTE: Depression can definitely have a major hormonal component. Hypothyroidism and hypogonadism are common root causes of depression and can worsen existing depression as well. See my page on Testosterone and Depression for more information. Also, I have a page on Natural Depression Cures that can greatly help most men struggling with moderate or mild depression.
4) J Clin Psychiatry, 2006 Jun, 67(6):952-7, "Serum prolactin levels among outpatients with major depressive disorder during the acute phase of treatment with fluoxetine"
5) Life Sciences, Jun 1978, 22(24):2209 2213, "Evidence that serotonin neurons stimulate secretion of prolactin releasing factor"