Giving Up Coping Mechanisms In Favour of Change?

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I want to make positive choices in my life as it relates to health and fitness, but certain food and drink indulgences have become something of a coping mechanism for dealing with my depression. After indulging, I lose motivation to go to the gym, but not indulging means I have to find another coping mechanism to get me through the day, and I'm really not sure what that could be.

A strategy I have used successfully is to pair the "coping mechanism" or rewarding activity with the activity you want to increase. Since the food/drink impairs your ability to go to the gym, only allow yourself those AFTER your workout, but be darn good and sure you do always indulge after you have promised yourself the reward.

I did this with swimming and saunas when I lived in Seattle, which has long, depressing, damp, dark winters. I found I adored the sauna but had low motivation for swimming. So I promised myself a sauna after every swim, and I never allowed myself a sauna except then. (The sauna and pool were in the same building.) This worked surprisingly well!

Good luck!

Hmm - could it be helpful to isolate and understand what, exactly, the unhelpful food and drink is giving you? What do you receive from these items? What is the need they are fulfilling? Does that need mask a problem you can address and rectify?
I found this approach helpful when I was drinking heavily. Asked myself what, exactly, does drinking give me that I need, when it obviously causes many problems that I don't need (like I was literally dying).
Based on the answers, and understanding what the primary problem was underneath the drinking compensation, I was able to find another approach that fulfilled the same needs in a much better way (as in, I'm still alive).
Hopefully that approach could help you?