I'll put the disclaimer first so as not to get anyone's feathers ruffled. I'm not trying to tell everyone that my thoughts on depression are the only way to go. I'm sharing what helped me. There are so many different types and stages of depression. There is no one answer. But the answers I found are not common, which is why I wanted to share them. Chances are there is someone else out there who will read this and find tools they need to overcome this challenge.
1) Go to your bishop. I put this first as opposed to "seek professional help" because professional help is expensive. Even LDS Family Services is $70 per hour. If you or your spouse is working, there is a chance the company might have free counseling for employees and their family members. If not, however, the church is there to help. If you are the independent sort, you might feel a repugnance towards taking the Church's charity. But this is part of what Fast Offerings are for. If you are a full tithe payer, especially, feel no reluctance to use this resource should the bishop suggest it. You can always repay it in increased fast offerings over a longer, more manageable period of time.
I know how hard it may be to approach your bishop. Do it anyways. When you are going through this challenge, you aren't thinking straight. You need someone with perspective to help you. Even if your bishop isn't easy to talk to or there are other issues that keep you from going to him, go anyways. Don't think about it, just take a deep breath and go. No one will be able to help you if you don't go to them.
2) Find a friend if you can. Counselors are great, but if you can find a trustworthy, real-life friend, you can begin to build a real relationship of trust with someone. Be cautious, though. You want to make sure the person you find is wise and forgiving and won't broadcast your problems to anyone else. In a future post, I'll discuss how WE can BE that friend. If you can't find a friend, write in a journal. It's not for posterity, it is for you.
3) Pour over the scriptures. It sounds trite and seminary-answerish, but when you go beyond simple reading and seek, the Spirit will come into your heart and will heal you over time. There is no quick-fix answer for what you are going through, but the Spirit will help you speed up the process a little. Find a quiet place, even if it's for only five minutes. Read slowly and thoughtfully, even if it's just one verse. It makes more difference than you think. There is no substitute for reading actual scriptures. The Ensign is fine for what it is, but it (with the possible exception of the First Presidency/Apostle messages) is not the same, in my experience. From what I have found, there is something about the poetry of ancient, time-ripened words that can resonate more deeply.
4) Discuss options with your counselor. Venting is sometimes useful and usually necessary, but make sure you also pin your counselor down to a real course of action. This can do wonders in taking control of your life. When you have a plan and know what the goals are, you can work for them. If part of that plan includes medication, get a second opinion. I know the current vogue is to accept medication for depression, but each medication has its own set of side effects, many of which are often not understood. If you are to take medication, do your research. Know what to expect. Don't just let your counselor prescribe you something without knowing what it can do to you. Some of those side effects are pretty alarming. You need to know what to watch out for. Don't be afraid to ask for a prescription change. Make sure that medication is accompanied by a plan to get off of it, or if that is impossible, know why you will never be able to get off of it. Make sure it's for good reasons. It's your body and your mind. You need to understand what is going on.
5) Reinforce boundaries. Sit down and evaluate your life. Often depression can stem from (or at least comes hand-in-hand with) a feeling of inability to cope with the world. Decide what you will allow from other people and what you will not. Figure out what is most important to you and what can wait. This is another step in taking control of your life. Work out these boundaries with a trusted friend, a bishop and/or your counselor.
6) Create a catch phrase. Whenever the voices in your head start telling you how worthless you are, be prepared with a phrase or a line of hymn to combat it. "Yes, I know Heavenly Father loves me." "I am a good listener." "God is faithful, who will . . . make a way to escape." "God will make weak things become strong to me." "I am a child of God."
It doesn't really matter what the line is, so long as it is positive to combat the negative and easy to remember. Then, when you catch yourself having negative or empty feelings, you have something to fight it, something to fill it. If it gets really bad, it can help to repeat it to your reflection in the mirror. When you look yourself in the eyes, you can sometimes be shown the spark of your own divinity.