I don't know about depression but I get withdrawals like some kind of addict if I go to long without gaming.
We all deal with some form of depression. You should start by trying to identify what it is that makes you depressed. Then find what things help make you happy. Start by focusing on the smaller achievable ones first. This can help build up your self esteem and prepare you to take on the bigger issues that are troubling you.
If you are not sure what the real cause of your depression is then find someone who you feel comfortable with (Friend/Family/GP/Counsellor) and talk to them about your life and see if they can help you identify the main source of your depression. You should also be prepared to accept that there maybe no solution and that it could be something you may have to live with. If that is the case then you may need to try and find something new in your life which sometimes requires a type of journey of self discovery.
But if all else fails you may need to be on anti-depressants but choose this as a last resort if all other options have failed because this can lead to further depression.
ChaosUndivided's comments