The path I know people talk about out of coding is Product Management. Are there others? It always seems like a pay cut and I'm already always so strapped for cash. Moving cities seems equally as overwhelming as changing careers.
Good luck and don't give up.
If you're strapped for cash as a software dev, either you're not budgeting appropriately (take a sober look at how often you eat out), or you're not making nearly as much as you could (look for a different job), or you've set yourself up to live beyond your means (switch cars, or look for a different living situation). I've been in both of the first two situations before, and getting out of them had as much to do with a different mindset and finding good people to be around. I've always tried to live within my means (aka not taking on more than a couple weeks worth of debt if I can afford not too). That being said, taking that close look at your finances can be difficult when you're not in a good place mentally, so if you can get some help there, I'd recommend it.
If you have family, or really close friends, you might see if you can crash with them for a while, working on a career pivot during that time, or just looking for a different workplace.
I lost a tech job in December of 2018, and didn't get back into tech until August of 2019, and ended up working fast food for a few months. It was a nice time for clarifying some things, and establishing my identity beyond "guy who writes code". Before I was let go, I was struggling with getting things done and fitting into my workplace.
A big YMMV on this, but do try to take some time to walk and start considering some angles to life that might seem more crazy than you'd normally consider.
I'm asking just to figure out what kinds of things to perhaps avoid when thinking of what else to do.
Also, it sounds like a difficult situation you are in if the depression makes changing things in your life more difficult (as it may often do). If you don't have professional help already, try and see if you can find some. The best thing might be someone who personally feel like they could understand you and your issues (especially if you don't have friends like that). It's not a silver bullet but it might help get started.
If money is the problem, try and see if there are some kinds of small-ish changes you could make to remedy that. I know from experience that just making those changes can be difficult if you're depressed enough, but I noticed I could save noticeably by eating out a bit less and making simple meals at home instead. It takes a bit of effort to get started and that may seem overwhelming at first but you may be able to save surprising sums for something else.
Of course all of that depends on your living situation, housing costs etc.
Either way, getting out of a job that's draining you can be important to your mental health and well-being, but other aspects of that are equally important, and making some changes where it's easier first might be helpful.
I've experienced something kind of similar (and, to be fair, I'm not nearly out of the woods yet, but I've seen some of the things that don't work), so I can see how it could be a difficult situation.
(Using a throwaway because I don't really talk about my own mental health in public.)
The key there is also to join the communities to engage and learn, along with getting outside.
There are plenty of paths out of coding. You could become a sales engineer for one, a solutions architect is another. You could become a consultant. You could go back to school and get an MBA for example.