。
I often feel depressed.
Literal
Melancholy-[attributive-な] mood [to-に] often become-[polite-ます].
憂うつ ('melancholy, depression, gloom') is a state-of-mind noun/na-adjective. The form 憂うつな気分になる ('become in a melancholy mood') uses ~になる for the mood change. よく here is 'often' (from よく, which can mean both 'well' and 'often' depending on context). A gentle, slightly formal way to describe recurring low moods.