I have not been in your situation, and I am bipolar rather than depressive anyway, but try to check with your wife to see what her expectations are. She wants you to change. Fine, but it is very vague. Read about SMART goals.http://en.wikipedia.org/wiki/SMART_criteria And set goals. "to change" is not a smart goal, as you will see after you have read the wikipedia article.

While I have not been in your situation, I have seen people who were put on probation at work and were able to retain employment, and those who weren't (but found better employment eventually, so all is still well). Your situation is similar to probation. So you need a plan and you need to know what achievements are expected of you.

As a general rule, the more sex and exercise you can manage, the more your stress level will go down. Sex will double up as well to help the marriage, whereas exercise will double up to lift the depression. Win-win.