A support group can be a great source of emotional and practical support for someone dealing with depression or a related mental health issue. Participating in a support group can help you combat loneliness, learn coping skills, and get information on resources.ntidepressant medications are often the first line of treatment used for clinical depression, and they are prescribed alone or in addition to talk therapy. Because there are so many different kinds of antidepressants, finding the one that works for you can sometimes take time. But don't let that discourage you.