This means there is a positive correlation between unemployment and depression.
Positive correlation refers to the phenomenon where an increase in one variable is associated with an increase another variable; or a decrease in one variable is linked to a decrease in another variable. It is simply a relationship between two variables when their values increase or decrease together.
Besides the example in the question, another example of positive correlation is reading ability and age. Up to adolescence, reading ability increases as age increases and decreases as age decreases, indicating a positive correlation between age and reading level.