If you are unhappy and depressed, it can be incredibly hard to make a decision to do something to change it. However, you’re the only one who has the power to do it. Get out of the situation if you can, either temporarily or permanently. From experience I found that getting out for a while almost made it worse to go back. The depression would hit harder than ever. You need to end the relationship if it is destroying you. Get help from family and friends if you can.
If your marriage is unhappy and depression has become your companion, survival is most often connected with little victories. Creating a vision for health and renewal rooted in baby steps is always advisable. For example, a goal to walk daily, while seemingly small, will afford the hurting one with a sense of control over life and a feeling of personal growth. A journaling goal is also relatively small but definitely sustainable. The little victories add up over time, providing hope for better days.