I think I may have led a friend to depression
Are you serious? How did you lead them to depression?
I did not mean to do so, but I'm tired of being the victim of his relentless teasing.
I see that you didn't mean to put them in that situation but now they do feel bad so you should try to make it better. Maybe apologize and talk things out so they know that you were upset about what they did.
It's a joke, but he still doesn't know it.
It must have been a bad joke if he didn't get it and it caused him to be depressed. It's best to tell him straight up that it was a joke and that he should not overthink it or treat it too seriously. It's wise to now go help your friend out and just have a deep conversation about you not liking his teasing.