It was my "jack of all trades" family doctor that said this. The psychiatrist feels I suffer from moderate anxiety though. The machine is called a "heartlink monitor". Some info is on it here. When I asked the psychiatrist about it, he didn't know what I was talking about. After explaining it, he replied, "oh, that thing". http://www.ncbi.nlm.nih.gov/sites/entrez?Db=pubmed&Cmd=ShowDetailView&TermToSearch=15065474&ordinalpos=1&itool=EntrezSystem2.PEntrez.Pubmed.Pubmed_ResultsPanel.Pubmed_RVDocSum
I haven't heard of such thing as a heart monitor detecting if you are depressed.
I had to wear one of those because I had fast heart beat, but it was only to see if it was abnormal. Then I had a echo and everything came out fine.
It seems like my anxiety is a big factor but my doctor hasn't diagnose anything yet.
After ruling out any physical condition, you might consider seeing a different psychiatrist.