Thoroughly depressed? Correct
I believe the answer is:
downright
'thoroughly' is the definition.
(thesaurus)
'depressed? correct' is the wordplay.
'depressed?' becomes 'down' ('down' can be a synonym of 'depressed').
'correct' becomes 'right' ('right' can be a synonym of 'correct').
'down'+'right'='DOWNRIGHT'
(Other definitions for downright that I've seen before include "Utter, complete" , "Blatant" , "Frank" , "Out-and-out" , "Plain-spoken" .)