It's not really a single song for me, it really depends on how depressed I am and whether I want to dive deeper into it (which really helps a lot sometimes) or make myself feel better.

Dive-in (including, but not limited to):

• The album Spiderland by Slint is pretty much full of depression songs for me, gloomy and full of dread. Don, Aman and Washer in particular are very hard hitting for me.

• F#A#∞ by Godspeed You! Black Emperor has similar vibes but is a lot more dystopian and pessimistic. Ever since hearing East Hastings in 28 Days Later it's been my favourite song on the album.

Feel better (including, but not limited to):

• Everybody Hurts by R.E.M.; I normally don't like this kind of songs but this one just feels honest and sincere which I can appreciate, plus Michael Stipe just has a great voice.
• Down Under by Men At Work; Pretty much the polar opposite of the post-punk/-rock songs mentioned above. I really want to move to Australia one day and this song reminds me of that goal.
• Happiness/The Gondola Man by Elliott Smith; just a nice song and I really like Elliott's voice.