Tanning beds can help some people with their depression due to the UV light causing a relaxing sensation to some people.
However tanning beds shouldn't be used that often though because the tanning beds can lead to skin cancer if overused.
I do find that my mood does improve after being in a tanning bed so it's certainly worth a try if you're feeling depressed.
Another way to improve mood especially during winter months which is much safer is to sit near a SAD light as I find that does help my mood as well like today on a cloudy day my mood is improved sitting near the SAD lamp.