Hi Sean -- A good starting place is www.mentalhelp.org, where you can download Psychological Self-Help for Free. It was the first book I tried to help myself. It uses cognitive therapy techniques. It is a no-nonsense approach that offers a variety of techniques and says -- look, this isn't going change overnight. Use one techniques, see if it works, and if it doesn't, move on. Be patient with yourself and keep trying.

Feed Good: The New Mood Therapy, by Dr. David Burns, and The Feeling Good Handbook, are among the books most wisely prescribed by therapists for their clients (or so I've read. But who knows? Maybe in the book promotional materials, which is suspect.) My T recommended them. One is a good reader (The New Mood Therapy) and provides the foundation for using the exercises in the Handbook. There is some overlap in the exercises.

Your Depression Map by Randy J. Paterson, Ph.D. (yes, one T in Paterson). Another book with exercises. I bought this before my T wanted me to use The New Mood Therapy. I think it's as good as Burns.

All of these use cognitive therapy techniques; apparently, there is a significant body of research suggestion that CT works if used consistently over time.

I hope this helps.