The most common and most likely answer to this crossword clue is the 3 plus 5 letter word THE BLUES
I've seen this crossword clue in Financial Times
T
H
E
B
L
U
E
S
Buddy explains!
The straight part
We know that "Depressed individuals/at home in Chelsea" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case depressed individuals/at home in chelsea = the blues.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.