Supposedly, drugs are effective in clinical depression--I don't think I have been that depressed.
My life flew off the rails years ago. I went from a guy who thought life, school, and sucess came to easy; to a guy who couldn't walk in a grocery store because I felt dizzy around people, and had daily panic attacks. Over the years, the anxiety improved, but then depression set in. Sleep became reversed. I became an alohoholic, etc.
Well, I don't have any sure fire cures, but I do know this you will get better with age. There were times when I thought it just isn't going away, but the bad feelings do go away. You will forget just how bad you felt. I spent about a year in Therapy(2 x week). I'm not sure how nuch it helped, but it did alleviate some concerns I had at the time. I didn't have any big break throughs, but I'm glad I went. I found the more a Psychologist charged, or the fact that they had a Ph.D didn't matter whatsoever. The worst person I saw was a $400/hr Psychiatrist. The best was a 15.00/hr student working on their Masters. As to medication, you will need to see a Psychiatrist; shop around! Personally, the only medications that worked in my case were highly addictive, but they were better on my body than alcohol I was abusing All I can say is you will feel better, and you are not alone.
What does suck though is you migth spend a big part of your life fighting against yourself. That's something I still have a hard time thinking about, it's hard to accept it.
I think Elizabeth Gilbert put together an accessible TED talk about this, and it's also in parallel with Albert Ellis's idea of Conditional-Self-Esteem vs Unconditional-Self-Acceptance. All you can hold yourself to is a commitment to showing up and doing the work. The results are almost irrelevant.