You are going into depression because you want too much, too quickly, too soon, and there is no energy to get it. That could be the reason for depression.
See life from a broader perspective. If you listen to knowledge and live the knowledge, then you cannot be depressed. Listen to the Ashtavakra Gita. Anyone who has a little bit of dispassion cannot go into depression. Lack of dispassion is the cause of depression.
Pranayama, kriya and meditation will get you out of this.
