Depression will never fully go away. You play some games, you do some sports, you meet up with friends, whatever. You may even be happy during those moments. But when you go back home you are alone again, there's no-one waiting for you there. No woman who hugs you and makes you feel like you're worth something. But even if there was one, deep down you realize the relationship can't fill the void either. It's all just distraction and escapism from the bitter truth that you will never be who you really want to, it's all just running away from the sheer physical impossibility of your deepest craving.
But once you accept that you will never be truly happy, never fully comfortable in your own skin, then you can be at peace with yourself. Accept your fate and keep on distracting yourself through work, physical exercise, social interactions, fun activities.
Play those games that give you the best sense of immersion and escapism.
Games that let you play a female character work best