tym, I'm sorry you are feeling depressed after trying to switch. It's quite normal to have some depression (which may be exacerbated if you have ongoing depression, anyway) when stopping smoking. That is because many ingredients in cigarettes actually provide MAOI action to the brain. MAOIs are older anti-depressants, but among the most powerful class of antidepressants. If you experience severe depression, you do have some options, such as getting it treated PRIOR to quitting (I might try Wellbutrin for this since it's a SLIGHT help as far as decreasing nic cravings, or even an MAOI (though, they do have rough side effects for some, I'd probably suggest Emsam, it's a transdermal patch that avoids some of the worst of the side effects and dietary restrictions. Or, you may need something else.
I use(d) (nearing end of my stash) ever increasingly smaller amounts of WTA (whole tobacco alkaloids) as I transitioned. I did this as no matter how much I vaped, I would reach a point at about 3 p.m. where I would just get SO antsy and felt like ants were crawling under my skin. Doing this was a huge help, and I'm glad I did use it to ease my transition, it is more expensive but may be worth the purchase of a bottle or two, I used Aroma ejuice and they were great as far as customer service and rapid shipping. Starting, I'd put a small squirt in my tank on refilling, now I keep a separate tank with a bit of WTA in it for times when I want to chew through steel. It's been really useful, some people do keep using WTA as they like the effect, and there's really nothing to say that you shouldn't.
You could try nic salts also, which more closely mimic the nicotine in tobacco, I bought all my stash of nicotine as nic salts because I enjoy the vape so much and find I don't smoke any more than I did with regular e-juice.
But mainly, don't stop vaping! Don't give up, keep coming here for support and suggestions, and no matter if/when you smoke, vape before and afterward! I did that while dual using for a week and it really helped me get on board with just vaping. Cigarettes became harder to smoke the longer I vaped.
I too have tried quitting before, even with a vape, though never as seriously as this time. I had to stop beating myself up, even over vaping in the past, and accept that I COULD succeed. I had to literally ignore every past quitting attempt, and this one has been successful so far. You CAN do it too, absolutely you can. You may need a few tools along the way to get there, but that doesn't matter. What matters is you are starting vaping.
Maybe start with your PCP about the depression, they can always refer you to a psychiatrist if need be, but WTA juice while transitioning may well be your magic answer, not just anti-depressants, so keep trying things
All the best of luck to you this time, every quit is different.
Anna