If you suspect that you are suffering from depression (not mere sadness or disappointment), then it is wise to get a clinical evaluation from a qualified physician. Depression is a biochemical illness, not an emotional one. Anxiety can be biochemical as well.
That said, there are spiritual/relational/emotional components to these disorders, so it is worthwhile dealing with any such issues with an experienced Christian counselor.
Don't just submit to these nasty feelings, and don't try to get over this by yourself. As for the "warning from God", put it in His hands and ask for His peace. He won't give you a stone or a snake.