Depression can be very crippling, and I commend you for facing up to it and seeking help. Unfortunately, some people who experience depression feel guilty or ashamed, and as a result they refuse to admit they need help.
But they shouldn't feel this way; some of the Bible's greatest people (such as Job and Elijah) knew what it was to be depressed. In the midst of his suffering, Job cried out in despair, "Why did I not perish at birth, and die as I came from the womb?" (Job 3:11). But in time Job realized that God still loved him, and when he turned to God he found new strength and comfort.
And I pray this will be your experience as well. Perhaps you've never thought about God very much - but He made you, and He loves you. He loves you so much that He sent His Son into the world to give His life for you and make you part of His family forever. If you have never done so, ask Jesus Christ to come into your life today - and He will. No matter what happens to us, we can have hope when we know Christ.
At the same time, don't hesitate to seek medical help if you need it. Depression can be caused by many things, including chemical imbalances in our brains, and often the right medicine can correct these. God can use doctors and medicines to help us, and in fact they may be God's answer to our prayers.