If you feel that joining the military will help you, there's nothing stopping you from joining. Go for it, if that's what you want. If you are having second thoughts about it, why join? As stated above, it may not help you, and may make your depression worse. An uncle of mine is currently overseas, and when he gets back, my aunt says she has to hide the alcohol, because he gets depressed over the fact that he couldn't save one of his mates (and he always blames himself for it, too).

Hopefully you find what works for you. Personally, since you are already suffering from depression, I would not suggest you join, as you may just get yourself killed. I hope I did not upset you in the least. Best of wishes!