How do I handle my depression?

I've never seen a psychiartrist because I'm really afraid to see one. Lately things have just been overwhelming, I converted religions and I felt a lot better for a month or so. This week, things have bee hectic. I find myself crying for no reason. I feel so alone and empty. I hate this feeling but I'm way too scared to see a psychiatrist (the idea of being alone in a room with someone freaks me out). Is there anything I ca do to stop this feeling of desperation and worthlessness from swallowing me whole?