I don't know how to handle depression, but I can give you some advice on relieving stress.
Basically, stress doesn't go away. At least not for me. No matter how prepared I feel for an exam, I always feel very gittery beforehand, but once I sit down with the paper, I go into an exam mode.
Prioritize your time.
If you have assignments and exams at the same time, decide which to work/study on.
If the assignment will help you with your exam, I advise you to do the assignment first (depending on due date too).
Determine what subjects/topics you are most confident in, and don't spend too much time reviewing it -- learn everything else.
Have a white board. Write on it, erase it. Repeat. Do this for diagrams, formulas, lists etc. I'm a science student, so I use this a lot in drawing chemical structures and other things.
Make sure you study in a quiet place. Don't get distracted. Sit and finish part of a section or topic before you do something else. It is good to take breaks, and study in short intervals, but nothing gets accomplished if you take 10 min to study, and 10 min break.
I know sometimes it's hard to get into a studying mode, but sometimes you just have to force yourself to sit and concentrate. Get some thing accomplished, and hopefully that will motivate you to cover more topics, and then you'll feel more prepared for your exam and feel less stressed.
Did I also mention games? No, no I didn't and that's the point. Refrain yourself from playing because it will suck away your time like a leech. I know there's the innocent "I'm just gonna' check what's going on!" but then an hour flies by and panic rushes in "I don't have enough time to study!"
Just remember that you can play games and do whatever you want once you've gotten exams and assignments out of the way. I usually sacrifice sleep in order to study longer, or finish an assignment. Not a very healthy thing, but it's a system that works for me. I always have the mindset that "I can always sleep later, but I have things to do NOW."
All in all, prioritize your time. Study diligently to avoid panicking "I don't have enough time!". If you have questions on course material, ask your teacher/prof/friend. There is no shame in asking.
When I am REALLY busy, I don't have time to socialize or talk much but I catch up with people afterwards. That's part of prioritizing. Though I say this, remember not to isolate yourself. You need to take breaks and get fresh air. Remember to eat. Eating is very important to power your mind and feel energized. If you feel lethargic, try to do some stretches during your study breaks and remember to eat healthy!
"Even a broken clock is right twice a day."