In the midst of your fight against depression, still fight sin. Although all your energy is depleted, still fight your sin. Plead with God and His grace to fight sin. Though it may feel like it sometimes, or all the time, the feelings and thoughts of God's perceived lack of love, does not give us freedom to embrace sin.
It is understandable why sin would be an appealing option for someone dealing with depression. Sin is appealing when we are not depressed, so how much more, when we want and need a sense of joy as if our very lives depended on it? You may have had some of the same thoughts that I had when I was dealing with the dark thoughts and feelings of depression. You may have thought "well Jesus has abandoned me anyways, so I will choose the pleasures of sin". You may feeling like "well God is not bringing me any measure or joy of comfort" or "all communion with my family and friends appear to be as pillars of darkness". Even so, don't actively make sin your source of joy because what you will find is it won't satisfy you long term. Sin will only serve as a means to compound your depression.
I want to end by giving a personal example. When I was going through depression as a single Christian man, the urge to sin was fascinatingly appealing. At one point, I felt all the joy, and integrity to pursue Jesus, completely drained from my soul. I felt like a scorched soul pleading for the Living Water and not getting a drop. I felt like I was getting the Divine stiff arm. I recall vividly driving to work one day speaking to God in my mind. I had decided that this was the day I was going to make sin my joy and not Christ. The conversation went something like this:
"Lord, I am done. I have been trying to trust You during these times. I have denied myself fleshly pleasures in order to please You. I have tried to hang on to fellowship with Christians who don't seem to acknowledge that I have a serious mental health condition. Why are You treating me so God? I thought I was Your child? I must not be Your child. You must not care for me anymore. Actually, let me clarify, it is clear that you don't care for me anymore. You are by far, my favorite mistake. I guess I will just find a woman who will be intimate with me and show me a measure of love that I am not getting in this horrible darkness. Even if I sin, at least I won't be alone anymore."
It was then, that I was overcome with one of the greatest types of peace I have ever felt in my life. No medications were involved. No drugs. My current circumstances certainly didn't explain such a peace. I was headed to my low paying job that had become dreadfully unappreciative of it's employees. Furthermore, if this feeling of peace was somehow related to the chemicals in my brain, it was too well timed to be the cause of my now, unspeakable joy. As I had made up my mind to abandon God and pursue living my life with depression away from God, Christ had other plans. In His peace, He seemed to be saying to me:
Carl, no matter how much you feel that I am not here, no matter how much you want to sin, always remember that I love you. I am always with you, and I always hate sin.
Though this did not cure my depression, that day changed my life on how I relate to scripture, feelings, and sin. What I knew intellectually about God, I now knew experientially. God hates sin, He loves me, and He is always there. No matter how I think, no matter what I feel, no matter what the situation is, God wants me to choose Him over sin. This is what it means for Him to be God, Lord, and Savior over us. We choose Him and trust His word over our own, even, in the face of a mountain of despair.
So for the Christian dealing with depression. Continue to trust God. Continue to pursue Jesus. He is still the same and He doesn't change based on our feelings or circumstances. He loves you. He is with you. He does not want you to sin. He wants to be your joy.