For me, moving out of the parental home was the best thing that I could have done after university. When I graduated in 2001, I spent 6 of the worst months of my life, going from total freedom, fun and independance, to living with Mum and Dad (bless 'em) and trying to find a job in the horrible real world.
Moving gave me the kind of responsibility, and feeling of owning my own life. It may not be for you, as I don't know the extent of your depression, but it gave me that feeling of getting somewhere and moving to a new stage in life.
Now, I get killed on rent, I'm in a lower management job that I dislike, I can't find a girl, but my life's all mine, and that really means something to me.