I know you have gotten some good advice and some varying opinions. Here is mine:
I have battled with depression, anxiety and suicidal thoughts most of my life. I am indeed, without doubt, saved. Yes, the more I focus on my relationship with God the less invasive it all is, but it never goes away completely. Some will say, "Then you can't be Spirit-filled." They are wrong. We will have overwhelming circumstances in our lives, we will have illness (some mental, some physical), we will suffer and struggle. Job struggled with depression. David struggled with it. Abraham, Jonah, Elijah and Jeremiah struggled with it. Jesus had such great anxiety about His impending death in the garden of Gethsamane that "His sweat was like great drops of blood falling to the ground" Luke 22:44 (The clinical term is “hematohidrosis.” “Around the sweat glands, there are multiple blood vessels in a net-like form.” Under the pressure of great stress the vessels constrict. Then as the anxiety passes “the blood vessels dilate to the point of rupture. The blood goes into the sweat glands.).
I have been so angry with God over my depression and anxiety that I have raised my fist at Him and cursed Him. For 2 weeks I felt what it would be like to live apart from Him, and trust me, it was much worse.
What I have found to work for me has been - reading a chapter of the Bible each morning; keeping in constant conversation with Him; keeping my focus on the blessings in my life (that are so easy to lose sight of in the darkness of depression); keeping my thoughts on good, happy, funny, light-hearted things. It takes a lot of work on my part, but it's worth it. The more I learn of Him, the more I notice Him working in my life in even the smallest things, the more my heart has come to truly know He is with me, and the darkness lifts for greater and greater lengths of time (after all, He is the light).
You know my story, Far Side. I had a breakdown so harsh it nearly crushed me to the point of death, but here I am, more in love with God than ever, able to see that He was with me through it all (hindsight is 20/20). If you want to PM me you are more than welcome to and I will do my best to support you and be there for you.
You are in my prayers.