Both short term and long-term memory can be affected by depression and by depression meds, and certainly concentration and comprehension can. One of the diagnostic criteria for depression is "diminished ability to think or concentrate", or "Problems concentrating, thinking, remembering, or making decisions." When I'm depressed I feel like my brain cells have been packed in concrete.
I am only familiar with concentration and short-term memory being affected by stress, but long-term chronic stress wears down everything. If you seem to be suffering memory loss, your psychiatrist and/or medical doctor should be able to administer a clinical test that will either reassure you about the extent of any organic loss of memory function you've suffered, or measure the extent of the problem. They should certainly be alerted to the problem. Sometimes an adjustment in meds is indicated: only you and your doctor can decide that, though.
My sister had memory loss due to illness and developed some coping mechanisms:
It is important not to panic or get upset when you can't remember something -- it only makes it worse, and if it was important someone will probably remind you. I find myself that if I try to "make" myself concentrate I can't absorb a thing, but if I just "take it as it comes" I often find that I've been engaged with one thing for hours. It helps if the folks around you know and allow for a memory or attention problem. That's one reason to get a clear diagnosis as soon as you can. Please talk over your concerns with your doctor.