Depression is a complex mental health disorder that presents significant challenges in diagnosis and treatment. This study proposes an innovative approach, leveraging artificial intelligence advancements, to enhance multimodal depression diagnosis. The diagnosis of depression often relies on subjective assessments and clinical interviews, leading to potential biases and inaccuracies. Additionally, integrating diverse data modalities, such as textual, imaging, and audio information, poses technical challenges due to data heterogeneity and high dimensionality. To address these challenges, this paper proposes the RLKT-MDD (Representation Learning and Knowledge Transfer for Multimodal Depression Diagnosis) model framework. Representation learning enables the model to autonomously discover meaningful patterns and features from diverse data sources, surpassing traditional feature engineering methods. Knowledge transfer facilitates the effective transfer of knowledge from related domains, improving the model's performance in depression diagnosis. Furthermore, we analyzed the interpretability of the representation learning process, enhancing the transparency and trustworthiness of the diagnostic process. We extensively experimented with the DAIC-WOZ dataset, a diverse collection of multimodal data from clinical settings, to evaluate our proposed approach. The results demonstrate promising outcomes, indicating significant improvements over conventional diagnostic methods. Our study provides valuable insights into cutting-edge techniques for depression diagnosis, enabling more effective and personalized mental health interventions.