https://slatestarcodex.com/2020/04/17/depression-the-olfactory-perspective/

Depressed people have worse sense of smell, and people with worse sense of smell are more likely to get depressed. Kohli 2016 tries to figure out what's going on.

They review six studies testing how well depressed people can smell things. Most use something called "The Sniffin' Sticks Test" (really!) where people are asked to say which of two sticks has an odor; the strength of the odorous one is then decreased until the subject can no longer consistently get it right. This determines olfactory threshold – how sensitive the subject's smell is. Depressed subjects did marginally (but significantly) worse on this test than controls (6.31 ± 1.38 vs. 6.78 ± 0.88; P = 0.0005) – I think this corresponds to an effect size of about 0.2. They also do a couple more tests to see if depressed people are worse at identifying odors and get similarly small results. Also, some neuroimaging studies directly correlate depression and olfactory bulb volume, and find that olfactory areas of depressed people's brains shrink.