It is not uncommon for the two to coincide, same goes for anxiety. Studies have shown a strong correlation between HPPD and these two disorders.
In this case study, depression ensued rapidly post HPPD development. Reboxetine was used to finally treat the ailment.
Many antidepressants can worsen the symptoms of HPPD. If you become medicated for your depression, I would tell your medical professional when your HPPD is exacerbated.
A. Lerner, E. Shufman, A. Kodesh, G. Kretzmer & M. Sigel (2002) LSD-induced hallucinogen persisting perception disorder with depressive features treated with reboxetine: case report, The Isreal Journal of Psychiatry and Related Sciences, No. 39, Iss. 2, Pp. 100-103.