Major Depressive Disorder (MDD), affecting millions worldwide, exhibits complex pathophysiology manifested through disrupted brain network dynamics. Although graph neural networks that leverage neuroimaging data have shown promise in depression diagnosis, existing approaches are predominantly data-driven and operate largely as black-box models, lacking neurobiological interpretability. Here, we present NH-GCAT (Neurocircuitry-Inspired Hierarchical Graph Causal Attention Networks), a novel framework that bridges neuroscience domain knowledge with deep learning by explicitly and hierarchically modeling depression-specific mechanisms at different spatial scales. Our approach introduces three key technical contributions: (1) at the local brain regional level, we design a residual gated fusion module that integrates temporal blood oxygenation level dependent (BOLD) dynamics with functional connectivity patterns, specifically engineered to capture local depression-relevant low-frequency neural oscillations; (2) at the multi-regional circuit level, we propose a hierarchical circuit encoding scheme that aggregates regional node representations following established depression neurocircuitry organization, and (3) at the multi-circuit network level, we develop a variational latent causal attention mechanism that leverages a continuous probabilistic latent space to infer directed information flow among critical circuits, characterizing disease-altered whole-brain inter-circuit interactions. Rigorous leave-one-site-out cross-validation on the REST-meta-MDD dataset demonstrates NH-GCAT's state-of-the-art performance in depression classification, achieving a sample-size weighted-average accuracy of 73.3\% and an AUROC of 76.4\%, while simultaneously providing neurobiologically meaningful explanations.