Talking definitely helps. I think it's safe to say most of us with legal status issues have gone through some depression, some more than others. I experienced it more in my early 20s. Not being able to work wherever I wanted while my friends did or able to drive without worrying all the time, not traveling, hating the world including my parents at one point. Like texasdreamy mentioned it's about perspective. As we get older we realize that if need be we will make it no matter where we are. We hope to be legal citizens of this country that we love so much but trust that people in other countries are perfectly happy too. If worst came to worst and we got picked up and kicked out we would survive.
All of this has only made us stronger.

Now a break up is always hard especially when you're cheated on and I say this from experience. It took me a long time to get over it I'm not going to lie, as a matter of fact you never really get over it but you eventually accept it and learn how to deal with it. Once you reach that mental state then you'll be fine and life goes on. Talk about it with a good friend that will listen, that was my mistake I kept it all in because I felt ashamed but I was really just making it harder for myself. Keep yourself busy with work, go out with friends, family etc. I know it hurts but remind yourself that you deserve to be with someone who truly loves you and no one else.