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Currently, there are no medications approved by the FDA specifically for gambling disorders.
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In this case, expert medical doctors could use "off label" drugs. it means that even if there is not a specifical approval for this...
However a depression... is a depression... after diagnosis there are many underlying causes and rarely depends only in one factor.
In my opinion, (I am a pharmacist), these issues should be managed by professionals and experts.
Don't wast time. Ask for support. Finding a solution could be more effective at early stages and not lately.
Friends, parents, spouse, and so on, could provide help but this is not enough. They are not professional. They are not supposed to offer a professional help.