Depression is a common disease worldwide. It is difficult to diagnose and continues to be underdiagnosed. Because depressed patients constantly share their symptoms, major life events, and treatments on social media, researchers are turning to user-generated digital traces on social media for depression detection. Such methods have distinct advantages in combating depression because they can facilitate innovative approaches to fight depression and alleviate its social and economic burden. However, most existing studies lack effective means to incorporate established medical domain knowledge in depression detection or suffer from feature extraction difficulties that impede greater performance. Following the design science research paradigm, we propose a Deep Knowledge-aware Depression Detection (DKDD) framework to accurately detect social media users at risk of depression and explain the critical factors that contribute to such detection. Extensive empirical studies with real-world data demonstrate that, by incorporating domain knowledge, our method outperforms existing state-of-the-art methods. Our work has significant implications for IS research in knowledge-aware machine learning, digital traces utilization, and NLP research in IS. Practically, by providing early detection and explaining the critical factors, DKDD can supplement clinical depression screening and enable large-scale evaluations of a population's mental health status.