One VERY simplified way of answering this question is "OPPRESS" relates to the people being REPRESSED (bringing brought down). While DEPRESS is often used as an emotion.
YOU ARE RIGHT! These words can be used interchangeably to an extent (more so regarding "oppress", "repress", and "suppress").
Oppression, at least to me, is often used when talking about a specific group of people that have been treated unjustly for a prolonged period of time. For example oppression of women or slaves. It makes me think within the world of freedom and justice.
Repression, through my experience, have been used more with an emotion or an urge (but can surely be applied to a person). In the dictionary, it relates to SUPPRESSING a thought or desire. Some examples I found are "repression of anger" or "repression of sexual desires".
Finally, "depression" makes me think of 2 things: first the state of mind and mental illness, and second graphs and trends.
Depression as a mental condition is a very serious feeling of sadness and is a leading cause of suicide, especially among teens. On the other hand, "depression" from an economical point of view is when the economy suffers significantly. For example the Great Depression in the 30s.
I hope those helped, I tried to explain it as simply and clearly as possible. I think what would really help is more exposure to sources that use this vocabulary :)