Some women do have increased risk for developing clinical depression after a miscarriage. If you have had a history of depression prior to your loss, you'll have increased risk for another episode. In addition, women without living children or who have concerns about future fertility can be at increased risk for longterm problems coping with the miscarriage.
And if any of these apply to you, please don't feel you have to face these experiences alone. You are not alone, and there are others out there who will understand what you are going through even if no one in your life seems to get it. If you don't have sympathetic family and friends who can support you through this, find a counselor or support group to lean on.