If you’re depressed, sin may be part of the reason. (But, sin is not the only reason – — see also Spiritual Depression: Its Causes and Cure)
John Owen:
Sin darkens the soul. It is a cloud, a thick cloud, that spreads itself over the face of the soul, and intercepts all the beams of God’s love and favour. It takes away all sense of the privilege of our adoption; and if the soul begins to gather up thoughts of consolation, sin quickly scatters them.
So, what do you do? The title of Owen’s work helps us in the right direction. We are to mortify or put to death sin. (See What Should You Beat To Death with a Shovel in 2010).
John Owen:
But now let the heart be cleansed by mortification, and the weeds of lust constantly and daily rooted up (as they spring daily, nature being their proper soil), there will be room for grace to thrive and flourish, the graces that God gives will act their part, and be ready for every use and purpose!.
But, we need to know how to kill sin. We can’t do it in our own strength, but only by the power of the Spirit.
For more, I recommend the abridged version of John Owen’s, The Mortification of Sin.