I can confirm the depression while on HRT for only a couple months. For the last 2 weeks I've had bouts of depression over being stuck in boy mode at work and not being even remotely perceived as a girl out in public. A lot of that last part is my doing though. Not shaving, not wearing my bra, wearing boy clothes, telling them my real name, etc... It sucks. But! I took my measurements again this morning and it's another half inch here and another half inch there, so the changes are happening and I'm reassured!
Still, as happy as I am to finally be on the right path in life, it does get depressing that I'm not able to go full time yet. Mostly because of clothes and confidence. I don't want people to look at me at work and say, "ahm, no, you're a dude, you look like a dude," when I tell them. That would be utterly crushing. So I wait. I build my wardrobe, I work on makeup skills, I hang out with my girlfriends who only see me as Kristina, and I wear girl clothes around the house almost exclusively! That is how I cope while I wait for the hormones to do their thing and for the right timing to come out at work.
Hang in there, talk about your feelings, they're important! Even if not with your wife, or with your therapist, find a friend, a confidante who won't get irritated about you talking about it so much. 😛