While this is not a definitive list of helpfulness, I hope it might be helpful. And it is a live list, open to additions and tweaks. Let me know if you’d like to include something.
Sunbathing In The Rain: a cheerful book about depression by Gwyneth Lewis (Fourth Estate/2002)
What’s Normal Anyway? Celebrities’ Own Stories of Mental Illness by Anna Gekoski and Steve Broome – Constable-London
(A great book of first hand stories about living with mental illness, including depression. Intimate and touching. A comforting read. Available on paper or kindle at amazon)