They used a clinical depression survey (CES-D). The questions were:

1. I was bothered by things that usually don't bother me.

2. I had trouble keeping my mind on what I was doing.

3. I felt depressed.

4. I felt that everything I did was an effort.

5. I felt hopeful about the future. (REVERSED)

6. I felt fearful.

7. My sleep was restless.

8. I was happy. (REVERSED)

9. I felt lonely.

10. I could not "get going."

So yes, it seems like responses to 2, 4, 5, and 10 could have something to do with the nature of the work in addition to students' mental state. But it is also possible that feeling that way about one's work takes a toll on one's mental health. I don't think it's appropriate to conclude anything based on this survey, but it certainly seems to call for further investigation.

Anecdotally it sounds very stressful and even if it turns out that 50% of people think they have depression that would also be a sign of a huge problem

Did they have a control group of non-STEM majors in the study? Couldn't see it in their report form a quick glance.