Will I be denied or fail a first class medical if I have a recent history of depression? I plan on going to get a medical exam for a first class medical certificate to attend flight school. Now, a couple months ago I met with a primary physician to get my blood and urine checked as a pretest, and everything checked out okay.

However when the physician asked me about my mentality, I mentioned I feel depressed from time to time (due to my current job which was at a call center) and he put this on my medical history "Depression, major, single episode, mild"... I currently am not and won't consider antidepressants because the depression is not bad at all, it more or less was just the job I was in. 

Will having that on my medical history without being prescribed any medication cause me to be denied the certificate?
According to 67.107 which is the guideline for AME's for mental issues, depression is not listed as a reason for automatic denial for first-class medical certificates.

The issue with depression comes in when you are on medication to control it, as many antidepressants are considered "do not fly". It isn't impossible though even with medication and treatment, the FAA has published a guideline for AME's about antidepressants and treatement, and the granting of special issuance medicals.

What you do not want to do is to lie about it on your application, as falsifying your medical history is grounds for revocation. Getting your medical reinstated after lying about your prior conditions is very difficult (and expensive).