Depressed, say, when puffed (4)
I believe the answer is:
blew
'puffed' is the definition.
(I've seen this before)
'depressed say' is the wordplay.
'depressed' becomes 'blue' (I've seen this before).
'say' indicates a 'sounds like' (homophone) clue.
'blue' sounds like 'BLEW'.
'when' acts as a link.
(Other definitions for blew that I've seen before include "Bungled (an opportunity)" , "Sounded (a horn)" , "Squander in the past" , "spent freely" , "Squandered" .)