A good soldier never gives up. And that is YOU. Did you ever see a specialist about your depression? Maybe medication can help...
The Yetzer Hara's biggest tool in getting people to sin, is depression. Read
this parable from R'Nachman to help.
One way to always remain happy is to remember that everything we go through in life, including all of the "unfulfilled" desires that we think we need, and all the suffering we endure, it is all only for our good. We are designed and programmed by God to attain lasting pleasure. That's our function. God is not stingy. He wants us to have the premium -- the greatest possible pleasure, just like most parents want nothing less for their children. Anything less than the very best would smack of imperfection, in contradiction to God's perfect essence. We must believe that this is the best possible world, since it is a reflection of God's perfection. "Since God desired to bestow good, a partial good would not be sufficient. The good that He bestows would have to be the ultimate good that His handiwork could accept." (The Way of God, 1:2:1). Since God is perfect and has no needs, He cannot take; He only gives. Creation is not for His benefit. It is one continuous gift of pure altruism, an act of complete giving without getting anything in return. "God's purpose in creation was to bestow of His good to another." [Rabbi Moshe Chaim Luzzatto, The Way of God, 1:2:1]. Obviously, this frame of mind requires a lot of Emunah, but if we work on it enough we can be given the gift by God to start to truly feel it. And with this frame of mind, a man can indeed achieve the ultimate happiness.