See the complete list of 10 Catholic Ways To Cope With Depression here
I have gotten comfort from reading books. Below are some of the books I have found helpful:
Surviving Depression: A Catholic Approach is one of the few books targeted towards Catholics.
I have personally found Cognitive Therapy’s rational approach to depression to be the most helpful. Two books I recommend are Reinventing Your Life: The Breakthough Program to End Negative Behavior…and FeelGreat Again and A New Guide to Rational Living.
Two spiritual books that are not specific to depression I have found helpful are The Fulfillment of All Desire: A Guidebook for the Journey to God Based on the Wisdom of the Saints and The Gift of Faith
The best book I have read on suffering is C.S. Lewis’ The Problem of Pain. This book really helped me understand why God allows suffering.