I would suggest Ayn Rand’s “Who needs philosophy?” and Nathaniel branden’s “How to improve your self-esteem”,“The disowned self” and “How to live consciously”.
That apart you could try counselling from a good psychotherapist.
Good luck.
I’d steer clear of anything written by Mr. Branden that wasn’t specifically endorsed by Ayn Rand.
I will order Who needs philosophy from Amazon right away, and look at How To Improve Your Self-Esteem’s reviews and consider it. Thank you.
Goodness, if your quest is for truth arrived at using your own faculty of reason (in this case the truth about how to handle depression, not just about Objectivism), why would you avoid analyzing books not endorsed by whomever. Ayn Rand and Objectivism don’t have a monopoly on truth, far less do they consist of tools of cognition or replacements for one’s own thought processes.
I’ve not read anything by Branden not endorsed by Ayn Rand, but I’ve heard from many people that his “Six (or seven?) Pillars of Self-esteem” was quite good. Either way, use your own judgement. If you don’t have the time and/or desire, based on your value hierarchy, to assess the truthfulness of a work, only then should you rely on experts. Even here you must go through some process for validating your confidence in labeling said expert an expert. But if you are faced with a problem of crucial importance to your life, a problem affected your highest of values in your hierarchy (your life and happiness), I’d say make the extra effort to judge for yourself. Do not presume right away, without thought, that Objectivism has the answer for you.
I am not under the delusion that learning and applying Objectivist philosophy will instantly make everything in the world good and right, that all of my problems will disappear. Indeed, it is my goal to enter the medical field, so Objectivism would only make me raise the proverbial difficulty bar higher, so to speak.
But what is more difficult for a person? To work hard and be proud of who and what you are, or hating yourself every moment of every day, and wishing your life to end? Objectivism will give me a mindset so that I will obtain all of my goals, or feel damn good in the attempt. In some ways, it already has helped me.
Aquila,
Congratulations being introspective enough to identify the problems in the first place, and now having the will to solve them.
Even though you know what needs to be done, it’s going to take a lot of effort and self-discipline because you have mental and physical habits that will need to be changed. Your next reading could be “Philosophy: Who Needs It” by Ayn Rand.
It sounds as if you already have a very basic knowledge of Objectivism, but as you have correctly identified, you need to take these ideas and put them into practice in your own life, not just have them swimming in your head. I agree with Saraswathi in that there’s nothing wrong with going to a psychotherapist or counselor. For a woman (your name indicates that you are female?), simply talking problems out, rather than having someone provide a solution to “patch” the problem, can do wonders. If you cannot afford this, do you have someone you can share these problems with? A trusted friend, co-worker, or family member who will just listen to you talk it out? Actually talking about it, and just having someone there to listen, can not only make you feel better, but can crystallize the solutions in your mind even further. YOU will be the one that provides the solution and the impetus to overcome this. Of course, the caveat is that this person should have respect for your ability to self-diagnose and not be telling you that you are fine, because you know that you are not.
I know you did not ask for advice beyond what you should read, but may I offer a few suggestions? Lack of physical activity and social isolation are a vicious cycle. You lack them, so you feel badly, which makes you even less likely to go out and be active physically or socially, which makes you feel worse, etc. Try to take a walk each day. Start with short ones and increase the amount of time spent in the walk each day until you are walking briskly at least 45 minutes each day.
Buy full-spectrum lights for your house or for the place where you spend most of your time inside: the coily fluorescent kind, NOT regular old incandescent bulbs. They are expensive but worth it. Winter is a depressing time because of the lack of daylight (I’m making an assumption that you live in the northern hemisphere). You need a FULL spectrum light on you when the sun is not out or when you are in a dark room. Although this is not the root of your problem, it can help you to feel a little better because it tricks your body into “thinking” it’s getting more sunlight than it is.
Sorry if this all seemed bossy or motherly advice. I just genuinely want to help because being even a little depressed is terrible, I know. From your post, you sound like a very intelligent person who has already correctly identified the problems. What you need now is enough energy to take some action.
Your advice is not at all bossy, and I am not offended at all at motherly advice. Usually, depending on the mother, it is the best kind. 
If I can afford some flurescent bulbs, perhaps I will give it a try if I can afford them. My negative attitude seems to have grown worse as winter came in, and perhaps this will help. I plan on doing all of my exercising in my room. Even if it isn’t much help, the placebo effect alone might come into play.
Oh, and I am male by the way. B) Aquila is latin for eagle. Thank you for your advice
Aquila, welcome to the forum. I think you might find “The Virtue of Selfishness” to be a worthwhile read.
As you may already be aware, in some cases depression is caused by chemical imbalances in the brain. Those problems can often be corrected with psychiatric medications. Have you sought the advice of a qualified professional yet?
I’ll order tVoS too.
Depression is abundent in my family, but I am of the opinion that although genetics can make it more likely, that depression is mainly psychological. I am not omnipotent, however, and maybe it’s counter-productive pride that makes me believe that, so I will not rule it out completely. The last time I visited a professional was years ago. She seemed like a pre-programmed robot with pre-programmed “answers” to my problems. The only real benefit I obtained from attending was having someone to talk to who would actually listen. My mother isn’t the best listener, as she has problems of her own. I’ll seek one again if I feel I need it.
Aquila, I know exactly what your talking about alot of the things you said sounds exactly like me. I even went so far as to join the Marine Corps to try and feel a sense confidence and pride in who I am. But something inside me still would not let go of the depression. What I’ve learned is that it just can’t be conquered with just achieving goals and reading material. I has to be a mindset, an attitude, you have to wake up in the morning and just refuse to let the depression beat you. You have to force yourself to believe you can be and do better. It’s also good to remember life isn’t always just “up’s” there are down’s as well and try not to beat yourself up so much when you are. Try your best to be optimistic. Everyone plays video games, you’d be surprise at how many marines are unfit and they’re suppose to be the finest, and if all our lives were on the line to solve a math problem you don’t want me anywhere near it.
Nietzsche was right when he said that Nihilism leads to defeatism. Ever since reading Rand’s book, I have been feeling much better, and now that I have a plan the stress is for the most part gone. For the first time in my life, I am feeling good. There’s another emotion in my head too, and the best way I can think of to describe it would be to use the mental picture of a man “squaring his shoulders for the task ahead”.
Time to kick ass. 
Thanks to everyone for your recommendations. The books are in the mail now, via One-day shipping.