Hundreds confess to being depressed! (4)
I believe the answer is:
down
'being depressed' is the definition.
('down' can be a synonym of 'depressed')
'hundreds confess' is the wordplay.
'hundreds' becomes 'd' (I've seen this in other clues).
'confess' becomes 'own' (I've seen this before).
'd'+'own'='DOWN'
'to' is the link.
(Other definitions for down that I've seen before include "Some 13 Acrosses" , "Blue" , "Unhappy; soft feathers" , "Not working (computer)" , "Pillow filler - dejected" .)