When I have what I call my 'washing machine head' (agitated, can't concentrate, thoughts flying everywhere) I use this DVD to help me slow down and concentrate on the moment. It has a short yoga/tai chi slot, some sound therapy but the bit I find best is a guided meditation by Brandon Bays. I picked mine up for £4.99 at a discount store so it shouldn't break the bank.
I know this should be under Products but I am recommending it specifically for depression.
HTH xx