Depression is more a state of mind. Major Depressive Disorder is a diagnosis. When a doctor goes to diagnose someone, they can't diagnose you simply as depressed-that's not a diagnosis. So MDD is what they diagnose you has. It basically means you suffer from prolonged bouts of depression. And you don't always have to go on meds for MDD. Sometimes it can be managed simply by therapy or other means.
Good luck with your treatments. And God Bless!
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