I used to be very depressed, but I found that weight lifting actually helped me get better. It gave me a new found confidence, and I felt like I was accomplishing something all on my own. Every time I hit a new pr, I would get a good feeling inside.
I would say keep training, for it may just be that tiny bit of salvation that brings you out of this. If you ever need to talk PM me. We are all brothers and sisters here, and even if the depression is something big or small, it's nice to have someone to talk about it.
Good luck with this situation. I went through something similiar once with a girl, so I understand the feelings you may be feeling right now. Now go hit the gym, and attack the weights ;p