One thing that sometimes helps is to focus on gratitude, particularly in your prayers. One approach to this is each day to thank Him for something that you have not thanked him for previously. Another way is once a day to say a prayer in which you don't ask for anything, and only offer thanks. These techniques do often help with depression.

I'm not sure that I really answered your question though. It is hard to feel comfort when you are depressed. I don't know about you, but I tend to not let myself feel comfort. He is there and ready to offer it though. Sometimes it is a warm feeling inside. Sometimes it is through a person who is kind to you, or maybe an animal, or a beautiful sunset. There are many possibilities, but all of them require us to be receptive to them. We have to seek Him, and the answers that He offers, and not dismiss them as something else.