Learning CBT methods from my clinical psychologist was very helpful in my recovery from clinical depression. Another related approach which you could discuss with your care team is Acceptance and Commitment Therapy (ACT).

I have no direct knowledge of DBT but my understanding (based on my reading in another mental health forum that I help to administer) is that it can help people with Borderline Personality Disorder, people who self-injure, people who experience suicidal thinking and people with substance abuse issues.

My impression is that DBT programs are intense (needing a lot of interaction between the client and the mental health professional) and are typically lengthy (12 months is common) but they can be very helpful.