Applying to grad school for mathematics with low GPA, but reluctant to bring up the health issues that caused it
You certainly have no obligation to mention your depression when applying.  You can say nothing about the subject and let your recently improved work stand for itself, or you can allude to personal issues and reassure the committee that they are no longer troubling you.  If you do well in your last two years of college, then difficulties in your first two will matter far less.

On the other hand, I think it could be worth mentioning.  In mathematics there's less stigma surrounding depression than you might expect (at least in the U.S.).  Compared with the rest of society, the mathematical community is unusually tolerant of various forms of psychological variation, provided that you can do good mathematics.  A number of famous mathematicians have suffered from depression, so it would be foolish to dismiss an applicant for that reason, and many mathematicians know colleagues who have been depressed.  The key question is whether you have found treatment that keeps it under control.  If you leave your situation vague, then you leave open the possibility that whatever was causing the bad grades might return.  If you explain that you sought treatment for depression and found it successful, then that will reassure the committee that your recent improvements are likely to be long lasting.

If you do mention this issue, I'd keep it brief.  A single sentence in your personal statement would be enough (the committee doesn't need or want any details about your health or treatment).  And, as I said above, there's no need to say anything at all if you aren't comfortable with it.  However, I don't believe doing so could hurt your application, and it might help explain your grades.