Depression in celebrating Lent (4)
I believe the answer is:
glen
'depression' is the definition.
(I know that glen is a type of Valley)
'in celebrating lent' is the wordplay.
'in' says the answer is hidden in the clue.
'GLEN' is hidden within 'celebrating lent'.
(Other definitions for glen that I've seen before include "Long narrow valley in Scotland" , "Narrow secluded valley in mountains" , "Highland valley" , "Narrow Scots valley" , "Narrow, deep mountain valley" .)