Depression can be experienced at many levels and for many different reasons. It’s rarely an easy thing to get out of depression. And, of course, there is a difference between being depressed and living in depression. Something may go differently than you had hoped and you feel depressed. But when your choices and your life begin to look different because of the negative feelings you have inside, then you are facing depression.
Depression is the fruit of something deeper. You shouldn't feel ashamed about your feelings, but you must know that God desires something better for you. He wants to comfort you and restore you to a life of joy. Get quiet before God and let Him be your counselor.