Depression is a serious medical condition and is a leading cause of disability worldwide. Current depression diagnostics and assessment has significant limitations due to heterogeneity of clinical presentations, lack of objective assessments, and assessments that rely on patients' perceptions, memory, and recall. Digital phenotyping (DP), especially assessments conducted using mobile health technologies, has the potential to greatly improve accuracy of depression diagnostics by generating objectively measurable endophenotypes. DP includes two primary sources of digital data generated using ecological momentary assessments (EMA), assessments conducted in real-time, in subjects' natural environment. This includes active EMA, data that require active input by the subject, and passive EMA or passive sensing, data passively and automatically collected from subjects' personal digital devices. The raw data is then analyzed using machine learning algorithms to identify behavioral patterns that correlate with patients' clinical status. Preliminary investigations have also shown that linguistic and behavioral clues from social media data and data extracted from the electronic medical records can be used to predict depression status. These other sources of data and recent advances in telepsychiatry can further enhance DP of the depressed patients. Success of DP endeavors depends on critical contributions from both psychiatric and engineering disciplines. The current review integrates important perspectives from both disciplines and discusses parameters for successful interdisciplinary collaborations. A clinically-relevant model for incorporating DP in clinical setting is presented. This model, based on investigations conducted by our group, delineates development of a depression prediction system and its integration in clinical setting to enhance depression diagnostics and inform the clinical decision making process. Benefits, challenges, and opportunities pertaining to clinical integration of DP of depression diagnostics are discussed from interdisciplinary perspectives.