I don't know if this will help you or not, but my doctor prescribed anti-depressants a few months ago and told me she chose Edronax (drug name Reboxetine) because although most anti-depressants add weight, this one doesn't. This is the only once I have ever used. I have lost nearly 10kg since beginning to take the drug (by keeping careful watch of what I am eating - I'm keeping a food diary - and trying to increase exercise, although I probably could do this a lot better!). I certainly haven't tended to gain any more weight since taking it.
I don't know if this is suitable for your needs, of course, but if you are already depressed (as I was), gaining weight will only make you feel worse (it did me). Perhaps it's worth a try to discuss the medication with your doctor and see if there is a better option.
Other people have made suggestions about exercise being good for depression and I certainly found it helpful in the past when I had very sad times. I used to go for long walks, which helped a lot (and probably helped keep my weight gain minimal at the time). However, when an illness kept me from taking any strenuous exercise, the depression came back (much worse) and I needed to start medication. It was a vicious circle, where the illness made me depressed, I couldn't exercise much and overate because I didn't care any more and then gained weight, hated myself, became more depressed, overate, ballooned in weight and so on.
I really feel for you as I have been in the same situation. Don't give up. Do talk to your doctor about a better option and do try exercise - it really may help you.
My very good wishes, let us all know how you get on...