Since depression is an alarm system telling you that something within yourself, your circumstances, or your relationships needs to change, the first step is to understand the causes. They may be predominantly environmental/psychological or predominantly medical. Either way, seeking both good Christian psychotherapy and the right medication, if that is indicated, is more effective than seeking either one alone.
To choose a good therapist, you might check (1) with your family doctor for a recommendation, or (2) friends or family who have sought and found effective help, or (3) with your church (or any large local one) to see whom they recommend for counseling, or (4) with the American Association of Christian Counselors (AACC) website for counselors in your area.
There are so many myths and misinformation in our culture, whether about medications or about the efficacy of psychotherapy, that prevents people from breaking free from the bondage and brokenness they are experiencing. It is so tragic to see people suffer so needlessly when so much is available now to restore and return them to fully normal functioning in all areas of life.
God desires for you the best life you can live, and that includes the best professional help you can get when things go wrong. What’s more, He responds to your depression with compassion and mercy, bringing, not judgment, but comfort to you when you are afflicted (2 Cor. 1: 3-4).