Therapy? Have you yet tried any form of psychotherapy? Typically, the optimal combination of things to treat emotional issues such as depression is medication (which, on your best day, is supposed to take the edge off symptoms) but the real gruntwork takes place in psychotherapist's consulting room.
Coping with loss. Losing a relationship is hard. If significant depressive symptoms were present prior to loss of relationship or if they significantly impair your ability to function without any improvement for more than a couple of weeks, recommend a consult from a therapist or your doctor. If symptoms have come on following loss of the relationship look to positive social support and activities you enjoy.