When you are depressed, put your hope in God
"Why are you downcast, O my soul? Why so disturbed within me? Put your hope in God, for I will yet praise him, my Savior and my God. My soul is downcast within me; therefore I will remember you from the land of the Jordan, the heights of Hermon—from Mount Mizar" (Psalm 42:5-6).
David was very depressed until he confessed his sin
"Blessed is he whose transgressions are forgiven, whose sins are covered. Blessed is the man whose sin the LORD does not count against him and in whose spirit is no deceit. When I kept silent, my bones wasted away through my groaning all day long. For day and night your hand was heavy upon me; my strength was sapped as in the heat of summer. Then I acknowledged my sin to you and did not cover up my iniquity. I said, "I will confess my transgressions to the LORD"—and you forgave the guilt of my sin" (Psalm 32:1-5).
The way out of depression caused by guilt is confession
(Psalm 32:1-2; 51:1-19)
Jesus can give you rest from your depression
"Come to me, all you who are weary and burdened, and I will give you rest. Take my yoke upon you and learn from me, for I am gentle and humble in heart, and you will find rest for your souls. For my yoke is easy and my burden is light" (Matthew 11:28-30).