I've battled depression for years.  As many fellow sufferers know, it comes on without warning and often without any obvious catalyst.  Medications only go so far.
For too long it was a vicious cycle.  I'd feel a whirlwind of sadness, grief, overwhelming sentimentality.  Energy and motivation reduced to near zero, I'd go through the motions for days just to get through the basics, looking for every possible opportunity to just lie down.  I kept thinking what a waste of time it was, accomplishing nothing, how there was simply nothing I could do about the emotional onslaught.  With a little self loathing thrown in (why did I do that ridiculously stupid thing?  how could I have thought that way?  what an idiot I was to make such a decision), it was brutal.
On top of this, many people who suffer from depression feel a sense of guilt.  I would learn of a friend's son in a car accident, or someone just diagnosed with Lou Gehrig's disease, and be disgusted with myself for being depressed when I had no such severe trials going on.
When the dark period would finally lift four or five days later, I'd be drained and exhausted.  And dreading the next episode.   Trying to avoid anything that might trigger nostalgia or tears, I'd have to suppress memories of people I loved that are no longer here, photos, maybe a certain song or conversation. 
Foolishly I never gave much thought to praying about these painful periods or to any spiritual benefit from withstanding them.  But all the while God was working in me, leading me to sermons, books, articles, online classes, biographies of saints, even every day conversations, that woke me up to the spiritual grace of redemptive suffering.
Wow.  The understanding that my depression could be offered as a sacrifice for a specific or general intention was enormously helpful.  It seemed this fact alone helped lift some of the burden, knowing my suffering wasn't just a complete waste - it had value!   When we unite the suffering God has permitted in our lives to His suffering on the Cross, we participate in His plan for the world.  As Fr. John Bartunek has so beautifully said, "God has consciously chosen to give us the possibility of making a difference in his Kingdom. We are not just along for the ride. What we do and how we choose to live our ordinary lives can actually increase the flow of grace in the world, spreading Christ’s Kingdom and storing up treasure for us in heaven. Jesus has not only saved us from damnation, but he has given us the possibility of becoming active, meritorious collaborators in the work of redemption. Not because we deserve it, but simply because he generously wanted to give us that possibility: he wanted our lives to have real meaning, our actions and decisions to have eternal repercussions. His love makes us friends and collaborators, not just his robots or spiritual trophies."
Pope John Paul II pointed out the supernatural benefit attached to suffering, including his own Parkinson's disease, when we offer it in this way: "In bringing about the Redemption through suffering, Christ raised human suffering to the level of the Redemption. Thus each man, in his sufferings, can also become a sharer in the redemptive suffering of Christ" (Salvifici Doloris).
And why should this surprise us?  We pray for each other, we do penance after we confess our sins.  Offering our difficulties, frustrations, and hassles, from the trivial to the traumatic, puts our day to day experiences to work.  Instead of just complaining about our less-than-perfect lives and focusing on our problems, we can turn them into efforts for good.   
There are a few ways I've found that help me continually remember the value of redemptive suffering. 
First, I've gotten into the habit of saying the Morning Offering.   O Jesus, through the Immaculate Heart of Mary, I offer you my prayers, works, joys, and sufferings of this day for all the intentions of your Sacred Heart, in union with the Holy Sacrifice of the Mass throughout the world, for the salvation of souls, the reparation of sins, the reunion of all Christians, and in particular for the intentions of the Holy Father this month. Amen.   
Second, I  read everything I can on purgative suffering.  This has been an education in itself, something I somehow never learned growing up as a Catholic.  God allows certain sufferings in our lives to purge ourselves of selfishness and other undesirable inclinations or habits and to get us to rely on Him more.  Numerous saints wrote extensively of this benefit of suffering, and it can provide relief to the depressed person in knowing he is growing spiritually more like Jesus through his trials if he offers them to God.
Third, I pray for the strength to get through the dark stretches and to never, ever give in to despair.  That's right where satan wants us.
Fourth, I go to Adoration, regularly now, but especially when I'm struggling.  I get peace there nothing else brings...even when the depression doesn't lift immediately.
For a long time I had a quote I loved by John Henry Newman hanging on my computer.  One day I reread it in a new light and was struck by the idea that any desolation, any sickness or sorrow or perplexity, can serve God "because He does nothing in vain.  He knows what He is about."

God has created me to do Him some definite service. He has committed some work to me which He has not committed to another. I have my mission. I may never know it in this life, but I shall be told it in the next. I am a link in a chain, a bond of connection between persons.

He has not created me for naught. I shall do good; I shall do His work.

I shall be an angel of peace, a preacher of truth in my own place,
while not intending it if I do but keep His commandments.

Therefore, I will trust Him, whatever I am, I can never be thrown away. If I am in sickness, my sickness may serve Him, in perplexity, my perplexity may serve Him. If I am in sorrow, my sorrow may serve Him. He does nothing in vain. He knows what He is about. He may take away my friends. He may throw me among strangers. He may make me feel desolate, make my spirits sink, hide my future from me. Still, He knows what He is about.

Now when I'm hit with a bout of depression, I immediately remind myself, "this too can serve Him."