Honestly, it's hard to think that a 16 year old's behavior in the home has caused your daughter to fall into a depression - you might need to look more closely at a cause, if in fact she's been diagnosed with depression.
How is he sneaking past a locked door?
Additionally, since he clearly has a women's underwear fetish and wants to wear women's underwear, is there some reason he doesn't have his own stash? It's unlikely a therapist will be able to "correct" this behavior, as it is pretty ingrained, and will likely continue all his life. This isn't a one-off curiosity thing that he wants to see girly underwear and then he's done. Cross-dressers, even with only underwear, is a lifelong behavior.
We bought him his own women's underwear, it didn't work. My daughter is not clinically depressed, she is just in a very bad mood all the time because she feels violated.
Can someone actually address the issue here and help me out with some advice on how to stop his behavior?
I am sorry but as RockRose says, once a person has a fetish, it is really hard (if not impossible) for them to stop. The more stressed they are, the more they want the fetish to help them self-soothe and the greater lengths they will go to, to get the fetish item(s). All you can do is help him with generalized anxiety and continue to demonstrate to him that what he is doing is inappropriate because it violates his stepsister. Has he been on an anti-anxiety medication? It might help him have fewer "cravings" for the fetish that he cannot control.