I saw both a psychologist and a psychiatrist during my last major episode of depression a few years ago. I had a great experience with my psychologist (just an okay experience with the psychiatrist) and she was the one to recommend the following books to me. If you learn best by reading and writing, you might find these as helpful as I did. I still have the notes I took for a number of the exercises in these books and find it beneficial to review them from time to time if for nothing else than to see how far I've come.
I found these first two to be the most helpful in breaking down the different aspects of depression and detailing how a change in thoughts and actions will improve your quality of life:
The Mindfulness and Acceptance Workbook for Depression: Using Acceptance and Commitment Therapy to Move Through Depression and Create a Life Worth Living
The following was one more book that was specifically related to depression. I think I didn't find it as helpful because I had already read through the books above before it and a third workbook was kind of overkill for me.
The final two books deal specifically with anxiety. I personally felt the books that focused on depression were better suited for my specific issues at the time, but for those who suffer more acutely from anxiety and its related issues, you could potentially benefit more from workbooks specifically for anxiety.
The Mindfulness and Acceptance Workbook for Anxiety: A Guide to Breaking Free from Anxiety, Phobias, and Worry Using Acceptance and Commitment Therapy
Have you found a book to be especially helpful in working through your depression and anxiety? If so, which one?