Get your annual exam and see if you can check your vitamin D levels on your blood test. Most people are lacking in it. I'd recommend taking 2000mg a day. There are two kinds of vitamin D. D3, cholecalciferol, is the one you want to take.

Also, like other posters have suggested, try going to the gym. It does wonders for your mood.

You might also want to look into interpersonal therapy in addition to CBT. From what I've read, it's about the same as CBT when it comes to treating moderate depression. http://en.wikipedia.org/wiki/Interpersonal_psychotherapy

There was a good article in the NY Times about evidenced based therapy. Tl;dr: <= ~30% therapists do pure CBT. http://well.blogs.nytimes.com/2013/03/25/looking-for-evidenc...

If you want to find an accredited CBT therapist, search here: http://www.cbtregisteruk.com/Default.aspx

Resources:

Moodgym - free CBT course by Australian National University https://moodgym.anu.edu.au/welcome A few studies show it reduced depression versus a control group.

http://www.bmj.com/content/328/7434/265

http://bit.ly/XexrR9

Another free course, recommended by the NHS: http://www.llttf.com/