Before some advice, a few quick questions:
1. What other things are you doing? Are you sleeping/staying in bed all day? Are you eating normally?
2. What kind of things do you like to do? Have you been doing them over the past few months?
3. What's your social life like?
Okay, now some advice based on what you originally posted:
1. Continue your weight training. If you can afford it, get a personal trainer or start going to exercise classes. Research has shown time and time again that exercise is one of the most important things to do when depressed. But when you're depressed it can be hard to motivate yourself to exercise. Making the gym a validating environment by seeking out a personal trainer or exercise class could motivate you to go! In addition, it is less likely that you would hurt yourself with someone guiding you through proper technique and giving you adjustments.
2. Seek out a therapist. I have been in an incredible amount of therapy and can say from personal experience that it is one of the best things that you can do. If you have the time or finances to seek out a DBT (Dialectical Behavioral Therapy) program, I highly suggest doing so. It is far more structured than traditional CBT therapy, by pairing individual therapy with skills coaching that focus on mindfulness, interpersonal effectiveness, emotion regulation, and distress tolerance. Through DBT I've become a lot more mindful, so I can recognize when I meet my limits and accept that. DBT is truly life changing.
3. Create a work-life balance. Working 24/7 simply isn't feasible or effective. Find activities that you enjoy doing and make a point to do them on a daily basis. For instance, I love to cook and make meals from scratch. So spending time meal planning/researching and cooking is a huge stress reliever and I get a daily "chore" done!
4. Change your mindset. View each bump on the road as a chance to improve and learn. Approach rather than avoid and face your fears. If at first, you don't succeed, analyze what went wrong and how you can improve for next time. Never give up. Validate and celebrate your accomplishments.
Go to therapy. Try different styles and different therapists until you find one that is the right fit.