My experience was like Anna's, I self medicated underlying depression with alcohol, but alcohol in itself is a depressant so in the long run that was ineffective. For many people, the depression associated with withdrawal will resolve itself. Others may need further treatment.
If the depression becomes protracted, don't hesitate to seek medical advice. Anything associated with thoughts of self harm should be taken issue with immediately.
Group therapy and/or counseling can often help. I was encouraged to look after nutritional needs (a counselor I saw recommended to me Vitamin B), take up a form of physical activity as it can boost the natural feel good endorphins, try to keep to a regular sleep schedule, etc. Not always easy when suffering insomnia and loss of appetite in early sobriety as I did, but self care is important and many of us with long standing addiction problems have a tendency to neglect it.
I tried to remind myself that many of my symptoms were actually signs of my body and mind trying to do repair work, a part of the overall recovery/healing process. During this time, you have to be a little forgiving and patient with yourself. It's tough, but it is really better for you in the long run if you can stay sober through the process and avoid relapse... whatever it takes.