The following may sound disturbing, shocking, or like silly new-age bullshit, but for your own sake, please give me some of your trust and try to put my advice into practice to see for yourself whether or not it works: 

From personal experience, I can tell you with absolute certainty and conviction that Awareness is the key to liberation from the suffering of life and to attaining unconditional happiness. Awareness is how I overcame my Depression, anxiety and many other mental illnesses and found immense unconditional joy and satisfaction that cannot be found anywhere else. 

Awareness is extremely simple and straightforward: All you have to do is to observe (and stop identifying with) your sensory perceptions (sights, sounds, smell, taste, touch), bodily sensations and most importantly your mind (thoughts and emotions) in a distanced and detached way, from the present, silent and empty space of Awareness. 

As a beginner, you will want to do this in sitting meditation (start with 5 minutes and work your way up to 30-60+ minutes, if you want to be serious about this you should meditate as much as possible) but eventually you should also remain in this state of Awareness outside of meditation, basically 24/7, whatever situation you are in. 

You will realize that you ARE this Awareness that is observing all phenomena, that all phenomena (including your mind, body and even the whole world/universe) are taking place inside of YOU (the Awareness), not the other way around. You will realize that your mind-made sense of self with which you have identified yourself up to this point has been a lie created by the limited human mind (that is also taking place inside of you and can be observed). You have believed yourself to be the combination of your body and mind and have suffered because of all the lies of your mind that you have believed, without realising that your True Self of empty Awareness was hiding behind all of it and observing everything all this time. All of your suffering comes from this false identification with your finite body and mind. 

Awareness is the unchanging, eternal, infinite, absolute Mind and ground of reality (aka God), inside of which the whole universe and your life takes place. Your life with all its experiences is like a little bubble inside of this infinite field of Awareness. It comes and it goes, but the field in which it arises is eternal. 

Reality is not material, but a shared dream inside of this Mind. Everything arises within this Mind and there is nothing but the different direct experiences. There is no universe outside of your perception of it. You are God himself, temporarily limiting yourself to this little human avatar in order to experience this world with all its pain and joy, and to rediscover your magnificent nature. (Which all will do upon death, but you can do this right here and now) 

Realizing and entering this infinite field of Awareness is what is also known as "Awakening" or "Enlightenment", and exactly what all the true prophets and saints like Jesus ("The Kingdom of Heaven is within", "I am one with the Father" etc.) and the Buddha (Buddha-Nature, No-Self, Emptiness etc.) have discovered. 

This post pretty much sums it up, but if you want to hear more about it, I suggest you follow some teachers that talk about Awareness on YouTube, like Eckhart Tolle, Rupert Spira and Mooji (there are many more, but these are probably the best). 

Here is a video where Mooji talks about Awareness specifically in relation to Depression: https://youtu.be/BJQvt4AkMB8