The dog, sponsored by property group Ryden, is the first Scottish sculpture in a campaign which invites corporate partners to raise money both for the statue and for the support of sufferers who are inspired to contact the charity.
David Fraser, corporate social responsibility partner in Ryden's Edinburgh office said: "Like a lot of these things, we were inspired to get involved in this campaign by the tragic case of a partner who [took their own life] after a long struggle with mental illness.
"The message to employers and managers is to treat mental illness in the same way as any other illness or disability; even if it's not something you can see or touch. Staff should be made to feel comfortable to discuss these things without prejudice."
Ryden, which has already raised £15,000 for Sane, intends for the dog, "Angus", which has a coat painted by artist Maggie Keppie, to be displayed around the capital for several months before travelling to Glasgow in time for the Commonwealth Games.
Depression is the second leading cause of disability worldwide, while one in six people has a mental illness severe enough to need help. Figures also show a recent increase in suicides.
Marjorie Wallace CBE, founder and chief executive of Sane, pictured, said: "I am so glad Angus has come to my native Scotland, and we are indebted to Ryden. The sculptures are powerful symbols of painful inner feelings that can be difficult to communicate, and we hope people will find the Black Dog liberating."
"Black dog" has been a metaphor for depression since Roman times, but was popularised by Sir Winston Churchill. Business leaders who have said they have suffered from the condition include Scots tycoon Duncan Bannatyne and former HBOS chairman Lord Stevenson of Coddenham.