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I went through a pretty severe depressive episode that was mostly caused by a long period of stress induced anxiety (Like 5 years of it). The only thing that saved me was quitting the job that caused it. But the only reason I quit the job was because I nearly quit myself. Afterward I bought a bunch of books on depression (because there was no way I could afford a psychologist). Two helped a whole lot - The Feeling Good Handbook by Dr. Burns, who studied under Dr. Albert Ellis and so deals with cognitive therapy; and The Right To Feel Bad by Lesley Hazleton, who shows how depression is actually a vital part of the human experience.
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