Could such a proof of dependence even exist, or would the only way of proving that a statement is dependent be proving/disproving it?
I'd like to address this specific question. It is not true in general that a existence of a proof of $P$ implies that $P$ itself is true. Neither is it true that existence of proof of provability of $P$ implies the provability of $P$. By Lob's theorem, each of these fails for some sentence $P$, if your foundational system is strong enough (ZFC set theory is certainly more than enough). To be 100% precise:
Take any formal system $S$ that satisfies the Hilbert-Bernays provability conditions, where $\def\box{\square}$"$\box_S P$" denotes the uniform arithmetical sentence representing "$S$ proves $P$", and we just write "$\box P$" if it is in the context of "$S \vdash \cdots$". Then the external form of Lob's theorem (L* in the linked post) asserts that if $S \vdash \box P \to P$ then $S \vdash P$. If $S$ is consistent, then $S \nvdash \bot$ and hence $S \nvdash \box \bot \to \bot$. Read in English, this shows that $S$ does not always prove that provability implies truth, even for individual sentences one at a time.
More can be said. If $S \vdash \box \box P \to \box P$ then by (L*) again we get $S \vdash \box P$. If $S$ is $Σ_1$-sound then $S \nvdash \box \bot$, so $S \nvdash \box \box P \to \box P$ does not hold when $P = \bot$. In English, S does not even prove that existence of proof of provability implies provability.
Strangely, it could even be possible (but no logician believes so) that ZFC is consistent but proves ¬Con(ZFC), which literally means that ZFC proves the existence of a proof of contradiction over ZFC even though there is no such proof...
More specifically, (in very weak meta-systems) we can easily prove that if ZFC is consistent then ZFC' = ZFC+¬Con(ZFC) is also consistent but yet ZFC' proves ¬Con(ZFC'). Of course, anyone who believes that ZFC is consistent ought to reject ZFC' because it denies its own consistency. But the problem is that we cannot ever figure out whether ZFC itself is already like ZFC' in being consistent but $Σ_1$-unsound, unless we actually find something like a concrete proof over ZFC of ¬Con(ZFC). But we actually hope that ZFC is $Σ_1$-sound, in which case we can never establish it non-circularly.
Now to explicitly answer the question interpreted externally, it is possible that $S \vdash \box P \lor \box \neg P$ and yet $S \nvdash P$ and $S \nvdash \neg P$, so 'proof of dependence' is not necessarily a reliable indicator of actual dependence! Here is one general explicit construction:
Take any $Σ_1$-sound formal system $S$ that satisfies the Hilbert-Bernays provability conditions. Let $S' = S + \box_S \box_S \bot$. Then we have:
$S' \vdash \box_{S'} \box_S \bot \lor \box_{S'} \neg \box_S \bot$, since $S' \vdash \box_S P \to \box_{S'} P$ for any sentence $P$ over $S$.
$S' \nvdash \box_S \bot$, otherwise $S \vdash \box_S \box_S \bot \to \box_S \bot$, and hence $S \vdash \box_S \bot$ by (L*), contradicting the $Σ_1$-soundness of $S$.
$S' \nvdash \neg \box_S \bot$, otherwise $S \vdash \box_S \box_S \bot \to \neg \box_S \bot$, but $S \vdash \neg \box_S \box_S \bot \to \neg \box_S \bot$ by (D3), and hence $S \vdash \neg \box_S \bot$, contradicting Godel's incompleteness theorem.