Depression remains a pressing global mental health issue, driving considerable research into AI-driven detection approaches. While pre-trained models, particularly speech self-supervised models (SSL Models), have been applied to depression detection, they show unexpectedly poor performance without extensive data augmentation. Large Language Models (LLMs), despite their success across various domains, have not been explored in multi-modal depression detection. In this paper, we first establish an LLM-based system to investigate its potential in this task, uncovering fundamental limitations in handling multi-modal information. Through systematic analysis, we discover that the poor performance of pre-trained models stems from the conflation of high-level information, where high-level features derived from both content and speech are mixed within pre-trained models model representations, making it challenging to establish effective decision boundaries. To address this, we propose an information separation framework that disentangles these features, significantly improving the performance of both SSL models and LLMs in depression detection. Our experiments validate this finding and demonstrate that the integration of separated features yields substantial improvements over existing approaches, providing new insights for developing more effective multi-modal depression detection systems.