Depression, a prevalent and complex mental health issue affecting millions worldwide, presents significant challenges for detection and monitoring. While facial expressions have shown promise in laboratory settings for identifying depression, their potential in real-world applications remains largely unexplored due to the difficulties in developing efficient mobile systems. In this study, we aim to introduce FacePsy, an open-source mobile sensing system designed to capture affective inferences by analyzing sophisticated features and generating real-time data on facial behavior landmarks, eye movements, and head gestures - all within the naturalistic context of smartphone usage with 25 participants. Through rigorous development, testing, and optimization, we identified eye-open states, head gestures, smile expressions, and specific Action Units (2, 6, 7, 12, 15, and 17) as significant indicators of depressive episodes (AUROC=81%). Our regression model predicting PHQ-9 scores achieved moderate accuracy, with a Mean Absolute Error of 3.08. Our findings offer valuable insights and implications for enhancing deployable and usable mobile affective sensing systems, ultimately improving mental health monitoring, prediction, and just-in-time adaptive interventions for researchers and developers in healthcare.