Stress, in its simplest terms, is our REACTION to changes that require a response from us. Although research does link prolonged stress and depression, the definition confines itself to the simplest elements it can be stripped down to.
Note that the definition of stress does NOT point to the change itself, but our reaction to it. It is not what happens to us, but our reaction to what happens to us.
That is good news, because, the definition implies it is something under our control. While we cannot control the changes that happen around us, we can certainly attempt to control how we REACT to those changes.