Yes, it's an odd little conversation - the only time Romeo's parents really appear in the play before his death! The Montagues are a lot less important than the Capulets to Shakespeare's design.
Benvolio is first out of the gates. He describes that, early, before sunrise, he was walking around and caught sight of Romeo:
A troubled mind drave me to walk abroad;
Where, underneath the grove of sycamore
That westward rooteth from the city's side,
So early walking did I see your son.
Towards him I made; but he was ware of me
And stole into the covert of the wood.
Romeo runs away from one of his best friends and longs to be alone. And, says Lord Montague, this is a common occurrence. Moreover,
But all so soon as the all-cheering sun
Should in the farthest East begin to draw
The shady curtains from Aurora's bed,
Away from light steals home my heavy son
And private in his chamber pens himself,
Shuts up his windows, locks fair daylight out
And makes himself an artificial night.
Romeo shuts himself up in the dark, locks himself in his private room (his "chamber").
Benvolio, finally, asks whether Montague knows why Romeo does this:
My noble uncle, do you know the cause?
I neither know it nor can learn of him.
Romeo's behaviour seems to be motiveless. Those three things together add up pretty clearly to the depression that you want to find in the text!
Hope it helps!