I'm a big believer in letting something go if you find a better opportunity. I've seen people who saw a huge opportunity and took the leap without any regret at all. I've also seen people just quit without anything lined up and felt regret (as well as ended up in the same industry again). Stay awesome and remember that depression is your mind's way of telling you that there's an improvement (or two) that you need to make; take the feedback - it's powerful.