Yes, it can, and it can also make depression worse. It can make it worse when you have such amazing lucid dreams, and your waking life sucks, and you want to go back to sleep and dream more. Lucid dreaming can help improve depression by putting you in a good mood when you first wake up in the morning.
I started doing lucid dreaming in the middle of a horrible depression from a divorce. It helped me until my skills increased to the point where I like the dreamworld more than the wakeworld. But, I have learned to transfer some of those skills and "mentalities" from the dreamworld into the wakeworld, like confidence and optimism. I have even practiced some waking life skills in dreams, like oil painting, which actually helped my real oil painting.
Peace.