There's no doubt in my mind that dogs get depressed. My Rotty and my German Shepherd were inseparable - the night before Ben passed away, Naga, my Shepherd, lay by his side all night and howled. It was the most lonely and sad howl I've ever heard.
After he passed on, Naga was like a mad woman running around the yard looking for him. It was so sad. She started to eat less and less and eventually didn't even want to play at all. After a few weeks, she began to brighten up, and thankfully, we had Puppy, our other dog, that kept her company and, I think, began to bring her back to the Naga she once was...took a while though.