The problem can be described as
1) learning to get along with less free time. Being a kid means having a lot of time on your hands. Often, kids are grateful for the additional schoolwork when they go to college, because they had too much time on their hands when they were in high school and they were bored. On the other hand, some college students get carried away - do nothing but study, which gets them good grades until they burn out. All work and no play make Jack a dull boy. Smart students budget their time carefully, keeping to-do lists and a weekly planner, and scheduling time for non-school things - including fun. In the Army, they call it R & R.
The problem can be described as
2) gaining resilience. This is sometimes known as "rolling with the punches," "not taking it so hard." Resilience has become a hot topic in psychology. One place to read about this is Web MD. Making the best use of your free time - consider meditation. Time magazine cover article, Jan. '14: "The Mindful Revolution" - about MBSR.
Universities and mental health professionals have recognized the free online course Palouse Mindfulness,described by its designer as, "a complete eight-week MBSR course, designed for people who are not able to take a live MBSR course for financial or logistical reasons."
There's something I'm reading about now that looks very interesting. I've been into meditation and mindfulness for a long time. It's helpful, but it has certain limitations. For one thing, it takes time to learn, and some people just don't get it. Also, it's good for preventing depression and probably for treating mild depression as well, but it doesn't seem to help with severe depression. But something similar to this - yoga breathing - actually has been shown to help with depression, also anxiety.
Despite methodological drawbacks of the included studies, yoga could be considered an ancillary treatment option for patients with depressive disorders and individuals with elevated levels of depression.
~ "Yoga for depression: a systematic review and meta-analysis" by Cramer and coleagues
If you go to the Amazon ad for this book, you'll see rave reviews - The Healing Power of the Breath by Richard Brown, MD and Patricia Gerbarg, MD. These doctors have been publishing papers on yoga breathing for years, at least 6 studies. You can get the audio for their exercises with this link -
http://www.shambhala.com/healingpowerofthebreath
Some other things that might be useful -
Therapeutic Lifestyle Change. Based on extensive lifestyle research, this program for stress and depression makes use of simple elements of lifestyle, things we all need anyway. It's a common sense approach that helps with all kinds of depression. TLC is mostly easy if not downright fun. The Depression Cure, a book by University of Kansas project head Stephen Ilardi, explains TLC in simple language and provides advice for dealing with problems like insomnia and the program's risks (for most people, slight). A psychologist's review in Metapsychology online calls it "a splendid book."