I'm going to be honest; discovering polyamory didn't "cure" me of depression. I don't think anything ever will. Depression runs in my family and I've had therapists since childhood, and I've accepted that it's a part of my life that must be managed.
However, acknowledging my feelings, exploring them, and being more open and honest with my friends and lovers has immensely helped that management process. I used to get depressed and think, "Nobody understands me. I'm so weird. Why don't I fit?" Now I think, "I might be different, but the people in my life 'get it'," and that's a huge help in letting me know that I have people I can go to, talk to, and be honest about my depression with since I'm also honest about everything else with them.
All in all, your feelings aren't going to suddenly change, and rather than sitting around feeling guilty about them, I would encourage exploring the feelings and talking about them with someone rather than letting them bubble inside.