I think LD would be a great tool to get un-depressed. There is always the inherent benefits of achieving goals and building self confidence. Building your awareness during waking hours could have the side effect of noticing all the amazing things life has to offer. If you seek more active participation, you could always have conversations with your dream characters, asking them questions about yourself and your life.

I find that paying attention to all my dreams, lucid and non-lucid, helps me stay happier. It helps me find out what I really want from my life.