I second the good advice to take the prescribed medicine and not to feel guilty.
I love winter, but DH does not. He finds it helpful to light candles or tea lights in the early dark mornings and in the evenings.
Could you perhaps find a hobby or pastime that you like and only do it in the autumn and winter months, so you have something to cheer you up? Something nice you associate with the depressing time of year?
If you haven't the energy to do so right now, and you probably do not, as depression drains energy away, do please give yourself some kind of little treat.
I hesitate to suggest chocolate or cakes, as they will probably just make you feel guilty too, but listen to some music you like, or watch a film you love on Netflix. Or buy yourself a teddy bear to cuddle when it all becomes too depressing. Read Winnie-the-Pooh to your teddy - he/she will love it and I garuantee "the bear with no brain" will cheer you up.