I am reading a book right now written by an Existential Psychotherapist (James Bugental), so this might be a good type of therapy for existential depression. It helps clients deal with their existential questions and despair, find answers, deal with ambiguity in life, etc. Existential therapy falls within the larger psychotherapy approach of humanistic psychology. Here is a link about existential psychotherapy:
http://www.existential-therapy.com/Index.htm

I did find when I began psychotherapy with my current therapist (who is from the humanistic psychology tradition) that one of the most powerful things he did for me that helped with my depression was to give me hope. (I had a previous CBT therapist and her approach did not give hope and did not help me.)