I thought this was a remarkable statistic:
Those with coronary heart disease alone were 67% more likely to die of all causes, while those who were depressed, but otherwise healthy, were twice as likely to do so as those who had neither condition.
But those who were both depressed and had heart disease were almost five times as likely to die as their mentally and physically healthy peers. 
If you are severely depressed, or have any other mental health condition, do not just live with it. Your condition may reflect some defect with diet or nutrition that may lead to long-term harm if not remedied. Or it may be caused by an infection which, if not treated, will progress.
One trouble with infections is that all infectious pathogens have evolved ways to disable the immune system, so any one infection makes you more vulnerable to subsequent infections. This is why people with chronic diseases and the elderly generally have many chronic infections at the same time. Each infection is debilitating; but as the number and severity of infections grows, the body weakens. Eventually, pathogens will induce some acute condition like pneumonia that enables them to spread to new hosts, and their first host will die.
I suspect that depressions of infectious etiology are more deadly than coronary heart disease because they imply a more advanced infection. Generally, to infect the brain pathogens have to first infect the vasculature; the vascular infection enables them to cross the blood-brain barrier. One can have a vascular infection (and coronary heart disease) without a brain infection, but as a rule one will not have a brain infection without vascular infection.
The drugs that doctors use for mental health conditions generally moderate symptoms but do not cure. By all means, see the doctors, but don’t expect a cure from psychoactive drugs. So what should you do?
I believe that the best treatment for depression, as our last post suggests, is a ketogenic variant of a healthy diet, good nutrition, and (if an infection is present) appropriate antibiotics. It is wise to start with diet and nutrition first, since diet alone may cure many conditions and a good diet is entirely safe. A healthy diet can greatly enhance mood. Antibiotics have the potential to backfire, so are the last line of defense; but in severe infections will be necessary for a cure.
 Depression and heart disease combo more lethal than either one alone, study suggests. ScienceDaily. September 16, 2010. http://www.sciencedaily.com/releases/2010/09/100915205716.htm. Nabi H et al. Effects of depressive symptoms and coronary heart disease and their interactive associations on mortality in middle-aged adults: the Whitehall II cohort study. Heart. 2010 Sep 15. [Epub ahead of print] http://pmid.us/20844294.