I got depressed many years ago, and went on citalopram (SSRI). It stopped me from being sad, but also helped me put a huge amount of weight on. So much so that I chose the decision to just come off of them cold turkey because I hated the way I looked more than the way I felt.
My depression was definitely worse when I was carrying extra weight.
I do agree with the advice of getting out there and being active if possible. It doesn't give an instant good feeling like food may, but after a while you start feeling better.