As one of the people who have immigrated to another country, I recall the initial years of that process as rather depressing, if not clinically most definitely psychologically.
Are there any tips or tricks for dealing with such a condition?
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Most immigrants find adjusting to new countries/cultures very challenging. One of the reasons is that social settings and usual way of life are mostly different in geographically disparate countries.
A few things I recommend are :
I think it is very important to take initiative and mingle with colleagues at work/school. Most of the times, most people would be glad to welcome you to join them. Of course, depending on the ethnicity, if the other group finds you imposing they will mostly let you know. The main point is to make an effort to get into social circles.
Taking classes music/pottery/hobbies can help. Making friends in those new settings also helps.
The issue that I most frequently encountered with expats is that they continuously talk bad about their new home and how much better it would have been if they were home or in the one other country where the food/weather/people/costs/whatever is so much better than where they are now.
This is a extremely damaging process to the person and everyone around them. My recommendation in this case is to make a very clear list about the good and bad things of the place that you live in, possibly together with a local or your partner to have an objective opinion on each matter.
Then, as mentioned by happybuddha, but very strongly relating to this issue of people comparing two places, it is just as important with whom you are in a place as where you are. You can be in the most dreadful place, but with the right people, you will be able to overlook at lot of bad things. Same, if you are in paradise by yourself, or even worse with the wrong people, it can become hell easily. So I always made a huge effort to make new friends wherever I went.
Last but not least, learning the local language is a HUGE advantage, specially the further away you live from home, and the more you look like a foreigner in the new location. I walking into a bar/restaurant in my home country am just one of hundreds of other customers. To start a conversation with a stranger or the local staff is perceived often as intrusive and boring by both sides. However, as a Caucasian, doing the same in a foreign country in the local language is perceived much different. People will remember you as the foreigner who speaks their language. People feel at ease talking to you about your home country as well as about theirs. You are suddenly not just one of the many people passing through. You are interesting to talk to, since you have different opinions, experiences and insights. This is a HUGE motivational and self-affirming factor during your new life abroad.
On top of that, learning and mastering the local language is something else that increases your self-confidence, gives you a hobby and lets you meet other students, teachers and so on.
One more add-on to the topic of the Language: I want to emphasize how this can improve your life more than anything else, specifically if you visually are recognized as a foreigner and/or if you come from further away. If you talk to people as a foreigner who knows the local language, staff restaurants and shops always think you are more interesting to talk to than the random local people who come and go. It is easier for me to start a conversation and to make friends in a foreign country where I speak the language reasonably well than in my home country. People remember me much easier and always ask me stuff such as "How do they celebrate Christmas in your country?". So going out and talking to people, specially in restaurants with a counter to sit at and talk to other people is becoming much more interesting than sitting at home in front of the TV. Also see this answer.
Having gone through this, I would say that depression is at least as much a social illness as much as it is a neurological one. No amount of therapy or drugs can make up for the social damage that depression can arise from. Based on anecdotal experience, I think this is an even larger issue for women than for men (my parents tell very different stories of living in Mexico for a year, and my wife had an even harder time in the US than I did in Indonesia).
Chances are you are a long distance away from friends and relatives. Everything is different. You no longer have a real sense of how you fit in. It's a tough time. Realizing that this is social in etiology I think is the first step to overcoming it. Here is what worked for me:
Focus on the few people around you who you are close with. If you have family with you, focus on that.
Do something social regularly, at least once a week, whether with expats or not.
Keep in contact with friends and relatives back home.
Spend some time with locals talking about how things work, socially. Find out how they solve social problems. This was, at least for me, the key to appreciating the new place. This isn't just about social norms. It is about understanding and appreciating where you are, and seeing how you can fit into it.
It's a tough issue, but once I went through it and come out on the other side, I found it was a very enriching process and well worth it, and I will never look at my own country in the same way again.
Cultural shock, some call it. Besides all what was mentioned above, I can add the following points, based on my personal experience:
These things worked for me, while handling depression caused by the cultural shock. They overlapped with other activities which involved meeting locals too, so after a while I learned the language and made new friends too. Yet again, if the depression has some other causes, not simply the fact that you are in a new place, then different methods apply.
To ring my own bell for a moment, here's the abstract of a paper that I co-authored on immigrants to the US:
Prevalence and correlates of depression among new U.S. immigrants. Wong EC, Miles JN. Abstract Although immigrants comprise one of the fastest growing segments of society, information on their adjustment to life in the US remains limited. The present study examined the prevalence of depression and associated correlates among a national sample of immigrants newly admitted to legal permanent residence to the US. Data were derived from the baseline adult cohort of the New Immigrant Survey, a national representative sample of immigrants who had obtained legal permanent residence between May and November 2003. Approximately 3% of respondents met criteria for probable depression in the past 12 months. Respondents who were female, younger in age, in the US for a longer period of time, and exposed to political violence in their country of origin were more likely to meet criteria for probable depression. Both pre-immigration and resettlement related factors were associated with probable depression. Further research is needed to better understand how processes in the country of origin and in the resettlement country influence the adjustment of immigrants.
It examines causes, rather than tips for treatment, although I guess you could infer some.