For books on Depression, "Shoot the Damn Dog" was a nice and humorously real tale of depression and hospitalization.
I also really liked 'Noonday Demon'.

I can't recall the authors off the top of my head for either of those books.

Others that I liked were The Bell Jar - Sylvia Plath. That one was great. Notes from the Underground by Dostoevsky was one that really stuck to me. The Stranger by Albert Camus.
If you want a really depressing read, go with 'A little Life' by Hanya Yanagihara. But that one might make you want to go cry buckets instead. I know I did.