It depends on why you are depressed. Are you depressed because you don’t have a job, period? Are you depressed because you don’t have this particular job? Are you depressed because you are jobless and your whole self image is tied up in having a job, or having this particular job? Are you depressed because it looks like it’s too hard to find another job? Are you depressed because your skills are out of date?
I’m sure I could go on, but I do think it matters why you are depressed.
What we are talking about here is a situational depression. That means that if you can deal with the cause of the depression, you can get rid of the depression. This is different from clinical depression, which has no environmental cause. It’s a problem with your brain chemistry.
Clinical depression needs meds and therapy and a whole set of other coping techniques. Situational depression doesn’t necessarily need meds, although they are often used. Situational depression, if not dealt with, can also turn into clinical depression. Then it’s not just the situation causing the problem; it’s become an endemic problem.
So I would see a doctor. Meds might be able to help you improve your mood to the point where it would be easier to deal with your problems. I would also see a therapist, if possible. They can help you do problem solving. A career counselor can coach you through your job hunting process and they can be very good at helping you feel better about yourself.
Then I would do the normal stuff. I’d get exercise every day. At least a half hour. Preferably more. I would do some volunteer work. Helping others makes you feel more capable and useful, and it can be helpful in job networking. Go to sleep at 11 every night. When you’re unemployed, you can easily stay up til 3 or 4 in the morning. This is very bad because it keeps you from getting the sleep you need, which makes you more susceptible to depression. You also want to eat well. Not a lot of unhealthy foods that you eat for comfort. Eat healthily.
I would address the specific issues that are causing your depression. I’d analyze them and do some problem solving. A therapist will be really helpful here. You should develop a plan that breaks everything down into small steps that are easy to take. Looking at the whole thing can be overwhelming. Making a plan can make it seem possible.
Finally, I think some coping techniques might be good. Cognitive Behavioral Therapy is focussed on positive thinking. Personally, I am not capable of manipulating myself into positive thinking, so mindfulness works a lot better for me. It inoculates me from the thoughts telling me I can’t do shit. I’m not worth shit. No point in trying. That helps you do what you need to do instead of stopping yourself before you start.