I think it would be useful to see someone for supportive psychotherapy to help adjust to the changes, and also start some social clubs and groups for new retirees. Meetup.com may have some suitable groups in your area. Are you married or in a relationship? What does your partner have to say? Scheduling morning activities like walks, making breakfast, spending time outdoors, volunteering can all help.
Another option is to see if you can return to some contracted or part time work for a few hours per week depending on what you do .
If symptoms persist and are disabling, medication may also be an option, especially if you have suffered from depression in the past, but you would have to see a psychiatrist for an evaluation.