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WARNING: Do not seek any advice from anonymous people on the web about depression, ever, you're seeing a therapist, that's a good start, If you're not satisfied with your current doctor, go see another one.
In my experience, that is largely the point. Take "cold showers", for example, as this is something that is regularly suggested in cases like this. Is there a benefit to actually being in a cold shower? Tough to say. But really, the benefit is that it's a small-bit-slightly-unpleasant task that's easy to avoid, and if you make yourself not avoid it, you build some small momentum for other things in your life that you lack motivation for. If you can muster the courage to stare into the shower head and turn it to cold, it doesn't really matter how long you wait until you turn it to hot after that.
I've dealt with depression my whole life as well, and have also had those feelings of anxiety and hopelessness. They are your brain playing a trick on you. It's not reality.
What works for me is to focus on things that I enjoy, and to remember that killing myself will only hurt the ones I care about. I think about wanting to see my niece grow up, and one day be at her wedding, etc. Things like that. Specific things that matter to me, not just vague ideas about loved ones.
I also try to throw myself into things I enjoy when I find myself starting to feel down. Listening to music I like, singing along to it helps me often. I make plans with friends. Not future plans, like immediate plans. If I find myself starting to feel down I will reach out to friends and try to make plans to see them ASAP. Even just to go to dinner or something. This often helps to refocus me on my relationship with them, and importantly, I listen to what's going on in their lives.
I was doing marathon running for a while, running 5+ days a week and that did help as well. Unfortunately I fell out of the habit. If you can find a form of exercise that you enjoy, it definitely will help. But obviously you're only going to do it if you enjoy it.
Another thing that is important is to try to adopt an open minded attitude about trying things. This has always been hard for me, but if I can do it, it really helps. If I can open myself up to trying new things, and remember that if they don't work out it doesn't really matter, that helps. New experiences at least make for interesting stories.
Lastly, sometimes it can help to have a pet. My dogs' cheerful faces always brighten up my day.
EDIT: Also keep talking to your doctors.
In England front line treatment for depression is a talking therapy. This would normally be cognitive behaviour therapy, butthere are others. This works best one to one, face to face, with an experienced practitioner. But some people like and get benefit from group therapy, or from telephone provided sessions, or even self-guided by book or website.
Meds should help. The side effects can be unpleasant and you need to be able to be honest with your clinicians about what the side effects are and if you're taking the meds.
It's really important to hold onto the idea of hope. Things feel overwhelming at the moment, but recovery is possible.
Once recovery has started you might want to look at "resiliance" - ways to protect yourself in future. This might be taking part in team sports or gardening or meditation or putting in place some stuff around work. People talk a lot about the curative powers of exercise for depression, but we don't have enough evidence to show that exercise is a cure. http://www.cochrane.org/CD004366/DEPRESSN_exercise-for-depre...
> When only high-quality trials were included, exercise had only a small effect on mood that was not statistically significant.
Exercise probably won't hurt, but don't beat yourself up about it if you're not exercising.
Here's a nice UK website discussing "talking therapies". http://www.mentalhealth.org.uk/content/assets/PDF/publicatio...
Here's the recommendations for treatment of depression in adults in England. http://www.nice.org.uk/guidance/cg90
If you want a book for cbt I've heard "Mind over Mood" is a useful workbook, although it's probably for the milder end or in conjunction with a therapist. I've heard "mood Gym", and Australian website, is also good. https://moodgym.anu.edu.au/welcome
There are other computer guided therapies. It's a good idea to check the research because some of them are not very good. The Cochrane Collaboration has checked some computer cbt programmes for anxiety or depression.
It's great that you are doing something to tackle this health problem! Good Luck!
Sources: http://www.health.harvard.edu/newsweek/Exercise-and-Depressi... - http://mason.gmu.edu/~sslayden/curr-chem/fish-oil/fishoil-wp...
If you're looking for strategies, Cognitive Behavioral Therapy (CBT) is one approach that I know of that can help with depression/anxiety/addiction, etc. You generally work with a therapist to understand how your thoughts, behaviors, and feelings can create a kind of self-reinforcing negative feedback loop. They therapist will give you homework and tools to interrupt the pattern and think more rationally and mindfully about your thoughts. I guess you can also try self-directed CBT, but going with a trained therapist is better if you can find one in your area that you're comfortable working with.
Sleep, exercise, and a good diet are always a great start. I always to look to one of those three things when anything feels off in my own life. Everyone here is suggesting you take your meds. One alternative that is increasingly popular, especially with depression, are psychedelics. I would suggest Amber Lyon's Reset.me [1] if you're interested in further reading. Now for the downvotes... [1] http://reset.me/
WARNING: Do not seek any advice from anonymous people on the web about depression, ever, you're seeing a therapist, that's a good start, If you're not satisfied with your current doctor, go see another one.