Previous works on depression detection use datasets collected in similar environments to train and test the models. In practice, however, the train and test distributions cannot be guaranteed to be identical. Distribution shifts can be introduced due to variations such as recording environment (e.g., background noise) and demographics (e.g., gender, age, etc). Such distributional shifts can surprisingly lead to severe performance degradation of the depression detection models. In this paper, we analyze the application of test-time training (TTT) to improve robustness of models trained for depression detection. When compared to regular testing of the models, we find TTT can significantly improve the robustness of the model under a variety of distributional shifts introduced due to: (a) background-noise, (b) gender-bias, and (c) data collection and curation procedure (i.e., train and test samples are from separate datasets).