The way I always looked at it, for whatever scientific reason, when you are depressed you are in a low state, like you are being held down. Whatever the cause, if you feel low, it's only natural to feel sort of tired physically and mentally, like your body is just prepared to endure some miserable period without using much energy.
I know that when I am depressed, I start taking SAM-E, 5HTP, Glutathione, b-vitamins and a ton of vitamin c (like 2000mg) and usually some bronkaid. I feel great. I go from manic depression to wonderful in 30 min. Does that mean anything, hard to say.
B vitamins are pretty important when it comes to producing serotonin. Serotonin is used (from what I remember) to produce glutathione (your body's main anti-oxident) and a bunch of other things along with regulating mood. Our bodies convert different chemicals and acids into other chemicals and acids regularly.
Just because a blood test shows you aren't deficient, it's not exactly 100%. Everything in the body is connected. Inflammation, diet, thyroid issues, sex hormone deficiencies, liver stress, blood sugar, it can all have an effect on how you feel and the levels of vital chemicals in your system.
As people have said, depression's cause is still a bit of a mystery, but the most logical answer to why we feel exhausted when depressed is that something is wrong on a biological chemical level, something is missing, and we haven't advanced far enough to explain it yet. Or maybe, depression's main value on a biological level is that is pushes us down and allows us to get through tough periods without using too much energy (think of someone in a starvation scenario).