Discovering individuals depression on social media has become increasingly important. Researchers employed ML/DL or lexicon-based methods for automated depression detection. Lexicon based methods, explainable and easy to implement, match words from user posts in a depression dictionary without considering contexts. While the DL models can leverage contextual information, their black-box nature limits their adoption in the domain. Though surrogate models like LIME and SHAP can produce explanations for DL models, the explanations are suitable for the developer and of limited use to the end user. We propose a Knolwedge-infused Neural Network (KiNN) incorporating domain-specific knowledge from DepressionFeature ontology (DFO) in a neural network to endow the model with user-level explainability regarding concepts and processes the clinician understands. Further, commonsense knowledge from the Commonsense Transformer (COMET) trained on ATOMIC is also infused to consider the generic emotional aspects of user posts in depression detection. The model is evaluated on three expertly curated datasets related to depression. We observed the model to have a statistically significant (p<0.1) boost in performance over the best domain-specific model, MentalBERT, across CLEF e-Risk (25% MCC increase, 12% F1 increase). A similar trend is observed across the PRIMATE dataset, where the proposed model performed better than MentalBERT (2.5% MCC increase, 19% F1 increase). The observations confirm the generated explanations to be informative for MHPs compared to post hoc model explanations. Results demonstrated that the user-level explainability of KiNN also surpasses the performance of baseline models and can provide explanations where other baselines fall short. Infusing the domain and commonsense knowledge in KiNN enhances the ability of models like GPT-3.5 to generate application-relevant explanations.