Since you have gods in your world no one ever said that your character will get his freedom anyway.

At that point your character can just flip off local pantheon and live his short life however he wants it, basically dropping the whole depression thing because of sheer anger and frustration. And even if he ends up dying it would be a glorious death of someone who remained free spirit. Might also consider giving this character up to GM after he goes full anti-pantheon to become a BBEG and making a new one.

Which, as I would recommend, should be depression-free. It's really not a productive or in any way interesting quirk to have for a character. Not to be offensive or anything, but as far as I can say, best answer to a depressed character is "Its okay, we feel you. Here, have this lovely cacao, warm blanket, maybe a cat, and sit tight in that cozy corner, while we go and do stuff". It's all sweet and all, but it's not really a great basis for... well, for anything, to be fair. And you know why by your own experience at that point - you just end up nowhere. Depression is not in any way interesting think neither to have or to observe.