Everybody gets sad or upset about things. We all have things that bother us.
Our emotions are perfectly valid. The Book of Psalms in the Bible bears this out.
However, if you are truly depressed, anti-depressants are not the answer. The Bible calls those types of things witchcraft. The Greek word for witchcraft is the same word from which we get words like pharmacy. Also, do not go to a psychiatrist as such people also fall into this witchcraft category.
Instead, seek a proper relationship with Jesus Christ. (See the Bible, the Book of Acts, Chapter 2, Verse 38.) True happiness can only be found in a proper relationship with our Creator and Saviour.
If you're depression stems from a traumatic event, seek counselling from a trusted pastor or Christian counsellor. Also, go to God directly for help. God repeatedly tells us in the Bible that He wants human beings to pray to Him. We are told in the Bible to cast all our cares upon the Lord.
Suicide is never the answer to depression. Suicide is self-murder and if you commit it you will end up in Hell. When we face problems like being severely depressed, we can either look to God to deliver us and save us, or we can listen to the devil, the one who tells us to commit suicide. God assures us in the Bible that He will always provide a way out of different situations we face.