As I've posted before, I went through a situational clinical depression in college. I didn't seek help for it simply because it never occurred to me. By the time I realized how bad I was, I was a little too deep into it to effectively problem-solve, and since nobody in my immediate family had ever suffered a clinical depression or other mental health problems at that point, the concept was just alien to me. I would've thought myself as likely to have beriberi as depression.
I was lucky in that it WAS situational and once I removed myself from the situation, it resolved quite quickly. As a result of that whole episode, though, I tend to monitor my emotional temperature a little more closely now and can usually "catch" myself if I start sliding.
At what point would I seek help? Unsure. I think, generally, if I started having significant sleep disturbances lasting more than a couple of weeks, or real problems with ADLs--shopping, cleaning, laundry, bill-paying, work--I would seek help, probably with my company's Employee Assistance Program to begin with ('cause it's--ahem--free for the first 4 visits).