Dear Pea Nuts,
My understanding of what the Buddha meant by emptiness is that you are empty of all the causes of unhappiness - thus free from unhappiness.
Having no self does not lead to depression, it is freedom exhilarating... you no longer have that albatross hanging around your neck of worrying about yourself all the time.
***For a Christian perspective on this universal principle of life, there is a book THE PATH TO NO-SELF by Bernadette Roberts, who was/is a wonderful nun, Catholicism.