Feeling low
Books commenters say helped them through depression and dark times.
Books several people mention
Ranked by how many different people say it helped. Small numbers, so the order is a hint.

A drug-free, cognitive therapy approach to overcoming depression, anxiety, and negative thinking.
This book changed my life for the better, as well as The Depression Cure by Stephen Ilardi. Both of them combined got me out of a deep multi-yearlong depression and allowed me to get married, get a better job, be more productive, more active and much much happier.

A hands-on workbook of cognitive-behavioral techniques for lifting depression and anxiety.
It's helped me tremendously with moderate depression and anxiety. For anyone suffering, I'd highly recommend just giving the book and its exercises a try.

Techniques for changing negative thinking habits to become more optimistic, resilient, and happier.
It reframed pessimism for me in a way that was very important, and helped me see that my pragmatic use of pessimism - while useful - did not require me to maintain a pessimistic outlook.

A short, lyrical novel about a young man's search for spiritual enlightenment in ancient India.
I can think, I can wait, I can fast. These became my mantra. I had the tools I needed. I could find a way out of this hole

A short handbook of Stoic advice on living a good, calm life.
Epictetus' Enchiridion helped me massively with depression and anxiety over the past few years. I still read a few excerpts from it weekly.

A guide to Acceptance and Commitment Therapy for handling painful thoughts and living by your values.
Its scientific approach to understanding our own thought patterns gave me control- coping mechanisms- for dealing with my own feelings instead of ignoring ("Burying") them