According to an article in this week's Science (subscription required), summarized in the New York Times, there is evidence for a genetic predisposition towards clinical depression triggered by high degrees of stress.
The articles are interesting, but the main gist is that depression is commonly brought on by acute trauma (mental, physical, or emotional) and that the increase in stress increases the likelihood of becoming depressed. Further, the study has some evidence to support the idea that there is a predisposition to depression under such circumstances for people who have the short form of a particular gene.
The scientists state that the specific mechanism is inconclusive, but it does provide an interesting jumping off point for the discussion of the genetic contribution to psychological conditions that are brought on by environmental events.
Based on this discussion, there seems to be no benefit to screening or any preemptive measures.