There's a good bit of overlap in anxiety & depression, so I can see how decreasing anxiety could also reduce depression.
During my Holiday Inn stay, I did some reading:
I like to look at what the drugs actually do rather than what conditions doctors say are "indicated." Buspar is a selective serotonin agonist (means it stimulates certain serotonin receptors) and a selective dopamine receptor antagonist (calms down or de-stimulates some dopamine receptors). What serotonin and dopamine do is way beyond anything I'm about to type out, but I'd start in the pharmacodynamics section of a drug you're looking at:
Buspirone acts as a
partial agonist of the
serotonin 5-HT1A receptor with high
affinity.
[3][38] It is a partial agonist of both
presynaptic 5-HT1A receptors, which are inhibitory
autoreceptors, and
postsynaptic 5-HT1A receptors.
[3] It is thought that the main effects of buspirone are mediated via its interaction with the presynaptic 5-HT1A receptor, thus reducing the firing of serotonin-producing neurons.
[3] Buspirone also seems to have lower affinities for the serotonin
5-HT2A,
5-HT2B,
5-HT2C,
5-HT6,
5-HT7 receptors where it probably acts as an antagonist.
[37]
In addition to binding to serotonin receptors, buspirone is an antagonist of the
dopamine D2 receptor with weak affinity.
[3][38] It preferentially blocks inhibitory presynaptic D2 autoreceptors, and antagonizes postsynaptic D2 receptors only at higher doses.
[3] In accordance, buspirone has been found to increase
dopaminergic neurotransmission in the
nigrostriatal pathway at low doses, whereas at higher doses, postsynaptic D2 receptors are blocked and
antidopaminergic effects such as
hypoactivity and reduced
stereotypy, though notably not
catalepsy, are observed in animals.
[3] Buspirone has also been found to bind with much higher affinity to the dopamine
D3 and
D4 receptors, where it is similarly an antagonist.
[45]
And then go do research and figure out what those particular serotonin receptors do and the dopamine ones do. "In general" serotonin is more tied to mood, stimulating serotonin receptors elevates mood and makes emotional things seem more intense. Dopamine is more tied to motivation, taking action, and reward system. This is VASTLY oversimplifying, but you get the idea.
SSRI's by contrast try to elevate your circulating serotonin levels (body naturally makes serotonin, a neurotransmitter, in certain amounts; a serotonin agonist sits in the serotonin receptors and stimulates them - a serotonin agonist could be considered fake serotonin that is activating the receptor in a different way than natural serotonin) by preventing the body from re-absorbing serotonin as it usually does, thus elevating the circulating levels. This "should" elevate your mood and probably does temporarily, but the body down-regulates serotonin receptors in response to elevated serotonin levels:
psychopharmacologyinstitute.com
Which is probably why the effects level off after a while and you're just left with bullshit side effects.
I'm not sure anybody really knows why serotonin effects mood, but it does, and we know what these drugs do even if we don't exactly know why.