There's no shame in taking advantage of mental health services; that's what they're available for. In many cases, effective medical treatments are available for everything from depression to ADHD, and your medical insurance should pay a large part of it. It's worth checking to see what's covered.
If you suffer from chronic depression, it's quite likely that there's a chemical cause. Check with your mental health services provider, because a variety of effective modern drugs like Prozac, Zoloft, and Lexapro are available to help get you back on an even keel.