What should you do if you get depressed while studying abroad?
Literal
Studying-abroad during [at-に] depression become[when-とき][topic-は] how-do [conditional-すれば]?
留学中 'while studying abroad' — 留学 'study abroad' + 中 'during.' 鬱になった 'became depressed' — 鬱 (usually うつ) is the standard word for depression. どうすれば is 'what should one do' — the ば conditional without an explicit result clause implies 'what should be done?'