"It is having time to think that makes me depressed" — grammatical function of "that"?

The word that is a relative pronoun here.

The antecedent (what it refers back to) is it, the subject of the sentence. Because it is linked by a copula (is) to a subject complement, which is having time to think, the relative pronoun that indirectly refers to having time to think.

The relative pronoun is the subject of the relative clause that makes me depressed (the object is me; the object complement is depressed).

If one wanted to simplify this sentence without much loss of meaning, it could be rephrased like this:

Having time to think makes me depressed.

Or, slightly more complex:

What makes me depressed is having time to think.

• It is having time to think that makes me depressed

is a Cleft sentence. It is derived from

• Having time to think makes me depressed

by applying the It-Cleft rule, exactly the same way

• Bill kicked the can

transforms into

• It was Bill that kicked the can

via It-Cleft.

In an It-Clefted sentence, the usual designation of the that is as a relative pronoun, as noted by Cerberus. Or, if you go to a different syntactic church, it could be considered a complementizer for the relative clause (the relative pronoun having conveniently been deleted). Depends on various details of Cleft formation, and how they're formulated.

However, the sentence

• What makes me depressed is having time to think

is a Pseudo-Cleft (or Wh-Cleft) sentence, also derived from

• Having time to think makes me depressed,

but by a different Clefting rule. Pseudo-clefting could transform

• Bill kicked the can

into

• What Bill kicked was the can.

The difference between the two types is exemplified here.