Each persons experience with depression is different. I experienced a lot of shame simply about being depressed. I felt that this somehow made me weak, inferior or flawed. In turn, this shame made me more depressed. It took me about a year to simply accept that I was depressed an actually seek treatment for it. For many people like me, simple learning to accept the depression and lose the shame surrounding it is a difficult but vital step to take. Once I stopped being so ashamed of my depression I was able to more rapidly and successfully work on it with less pain.
My mother once found an article on depression that I recall bringing me a lot of relief. Ironically (since I'm a woman) it was on Men and depression. However, it brought me comfort because it talked about a number of very successful, smart, accomplished men who suffered from depression. This was an important thing for me because I felt like I was somehow flawed or weak for getting depressed, but after reading their stories I realized that depression often happened to very smart, capable and accomplished people. http://www.newsweek.com/id/42930 This might sound silly to some people, but it was extremely comforting to me.
If I could offer advice to those going through depression, I would definitely encourage people to not feel shameful over being depressed. Allowing yourself to be depressed and working in a positive way to overcome it rather than in shame or disappointment, you will be much more successful and in much less pain during the process.