The first psychiatrist I went to wanted to diagnose me with social phobia O.o
And then they said that, "It has nothing to do with you being trans".
And then I fired her.
I don't mean to sound like I don't like what she was saying, or that all Psychiatrists don't know what they are talking about; it's just that if they aren't experienced with trans related issues, they might as well be wearing ear plugs since nothing you can say will sway their misconceptions. Or, alternatively you can try to educate them with some scholarly articles.
As far as depression...most of the problem with depression is thinking in black and white (eg. I will always, I will never, I absolutely hate, every day of my life sucks). If you can catch these sort of thoughts and analyze them, usually they aren't as strict and absolute as when you first thought them.
Another trick is when you start thinking "If x happens/doesn't happen it would be horrible", then you ask yourself "how bad would it be between 1 and 10 if X did happen?". And then ask "what is the probability that X will occur? The scale again being between 1 and 10"
And if you can't get past it that way...continue thinking "what if?", but make sure you think past the bad parts and towards "what I could do".
When you get enough posts you can PM me.

-Skye