I doubt any person that's ever had depression has found it embarrassing. It's actually an illness that impacts every aspect of our lives as it is a mood disorder, deep within our brains where we perceive the world around us. Depression is not a choice you made like an unwanted pregnancy or a STD.
Just list out your symptoms and how long you've had them. Also acknowledge any events in your life that seem out of the ordinary (stressful move, relationship, job changes, etc). Know yourself as some depression is just situational like maybe you lost your job and you're not taking it well, etc.
So I would see your doctor with your list of questions and ask if there's anything you can do. You don't even have to say the word depression, just indicate that you are feeling "a loss of energy" or "not feeling as happy" and just let them listen.
OTC depressants: I am not aware of any except for St. John's Wort. My friend took it 2x a day during a stressful part of her life and she did feel better but she did not have a diagnosis of clinical depression like I mentioned before which is sensory/mood. She just had an annoying job with a boss that was out of control.
What should you do instead: Sleep can be good. Any time there's anything really stressful you can just sleep it off. Also exercise can add positive chemicals into your brain where your mood receptor thingies are. Sex. :) LOL.