I have depression and worked the steps. I believe that it was essential for me to stay connected to the program and people in my home group even when I didn't "feel" it. When I was actively in a depressive cycle or before I got to the right level of medications, I couldn't feel its benefits, but the AA program was still helping me mentally. During those times, I focused on service to my home group and going to the more structured meetings like Step meetings or BB readings.
Later/when I wasn't so depressed, I could feel the benefits of the steps.