This term describes a depressive state where the person experiencing the downward spiral is getting more and more depressed, perhaps due to causes unknown. It is called a downward spiral because there is no way to stop it, its just going to get worse and worse... until the person crashes, and maybe finds their way back to happiness.
"I don't know what's causing it, but I just want to warn you that I'm on the downward spiral."
"seriously? I hope everything is ok."
"I hate my fucking job, my wife is cheating on me, and the only thing keeping me sane is my job with this new startup company that is slowly running out of money for us..."