There is a guy on youtube, Mike Chang, who has an exercise and eating program I have found very useful. "Insane Home Fatloss" and "Zero Willpower" diet. It's not really a diet though, and the exercises aren't anything special but it provides a simple means to exercise and eat right while I'm depressed. I don't have to wonder what I am going to eat, or worry if I am eating too much, and the exercises can be tuned to my level of energy (adjust the interval timings).

Outside of those I recommend walking daily and removing processed foods from your diet. Processed foods include anything with refined sugar, enriched flour, or transfats. If that seems too hard to do outright focus on just removing high-fructose corn syrup from your diet as a starting point. When I did that I dropped twenty pounds. Eating right was another twenty. Getting rid of refined sugars was another twenty.

Physical exercise can offer relief from depression due to the endorphins and serotonin that it produces in the body. Getting time in the sun helps ensure you have enough vitamin D as well. Proper nutrition will aid in maintaining stable blood sugar, ensure the body has all the nutrients necessary to repair tissue damage and...well, you are what you eat. Then there were those days where I would walk uncounted miles merely because thoughts of suicide were less frequent while I walked circuit after circuit. It was better than being alone, inside, with nothing but my thoughts.

Keep in mind that there will be periods of time where heavy exercise and eating right do not show as noticeable weight loss (it will fluctuate) as water weight, increases in biomass from a fiber rich diet, and packing on muscle will influence what the scale says. I still don't know how many pounds of fat I have lost, I only know that I weigh sixty pounds less and have substantially more muscle mass. The workouts are easier as well, mostly because they have become a habit, part of my routine.