I'm sorry you are dealing with this. I've talked to several Americans over here and most (all?) said it took at least 2 years to start liking it here. I'm American and have been here since Fall 2007. I've suffered from depression before too but it is just different here. Now that I've been here for almost 4 years I can now say that "4 out of 5 days I really like it here." But, there is still that 20% of the time that can be really hard.
These things worked for me:
SAD: like other said, SAD is a very real thing here. I bought
this lamp for my office. It was totally worth it! I use it from when I get in until about 2-3pm. "They" say SAD lights should be used for about an hour/day but it can be weeks without real sun here. Once I started using this light I felt better in a couple of days. I only wish I had done it sooner. I also bought some full spectrum light bulbs for my home for a couple of rooms. Warning: do turn your SAD lights off by about 8pm or you will be wide awake at bed time!
I also tried to embrace things about the UK that are actually really cool/"better" than the US. Like being able to take a cheap airline to another very interesting place for a "mini-break" or long weekend. Sure, my TT friends in the US can go to Chicago or Minneapolis by car, but I can get to Paris or Vienna or any number of really interesting places just as quickly (or sometimes faster). I've also tried to enjoy what London has to offer and cultural events in my area.
It does seem to help to keep in touch with friends from grad school (I started my job straight from grad school). For example, one of my friends, let's call her A.B., landed what I thought was my dream R01 job the year after I started here (I don't think they advertised when I was on the market). It turns out, talking to A.B. that her university <gasp> isn't perfect and she has to deal with all sorts of crap too. Sure, it's not REF and external examiners rewriting exam questions that are perfectly fine, but she has things that would also drive me crazy in a different way. My point is: it isn't necessarily better in the US (even at "dream R01s") and knowing that helps a lot. The fora are good for that too. -- Also, sometimes I get to talk about the UK and it turns out some of my friends over there wish they had some of the perks we have (e.g., maternity leave, holiday time).
Other things that helped were taking care of a few minor household things. For example, there is no outlet (mains) in my bathroom. Most British people I have talked to are shocked when I complain about this because "it would be so dangerous to have electric mains in the bathroom." When I say it's standard in the US, I get told "but that's only 110 volts, here it's 220." Um, in the rest of the EU it's 220 and they have mains. Grr. We actually have a 10 meter extension cord (lead) going from our kitchen to the bathroom. When I want to curl my hair or do something like that I just turn it on at the wall in the kitchen, curl and turn off. I don't use it every day, but knowing I
could use it if I wanted to makes me feel like I have that much more control over my life and the day-to-day in this land where there is no Target, none of the non-grocery stores are open after 7 and there is no place to get coffee on campus after 3pm.
Anyway, those are just some ideas off the top of my head of what has helped me. I hope they are helpful. At the very least, I hope it is comforting to know that you are not alone.