Dan,
I can only talk from my own experience, but mine was positive. It depends, of course, on your employer and individual situation.
As soon as I was diagnosed with depression, I informed my manager. She had been concerned about my levels of absence and manner whilst at work, and was pleased to have something 'solid' to work with. Turns out that she had fairly recently suffered from depression, so empathised with me.
My employers are pretty good as regards employee health, and they immediately involved an occupational health nurse who recommended counselling. They paid for two blocks of private counselling, which I could not have afforded on my own, and have been generally supportive.
Don't forget that depression is a chronic illness like any other, and like any other health problem that may affect your work I think it is best to be open with your boss.
That's my experience, anyway.
Take care.