The idea of support groups is to help people who are receiving treatment for depression to find comfort and direction in a confidential and supportive setting, where they can make a difference in the lives of others.
Most support groups are volunteer run and provide self-help through facilitated meetings. They are not group therapy, although some have professional advisors (typically a psychiatrist, psychologist, nurse or social worker) from the community.
In addition to participating in the group meetings, people can meet others from their community who can relate to their experiences. They may learn valuable information about mental health professionals and services in their area, as well as tips and techniques others use to manage their illness.
In the US, the Depression and Bipolar Alliance has a locator to find support groups throughout the country: http://www.dbsalliance.org/site/PageServer?pagename=support_findsupport.
In the UK, Depression Alliance has links to a number of support groups: http://www.depressionalliance.org/how-we-can-help/self-help-groups.php.
In other countries, do a web search on "depression support groups".
There is also a 12 step program for people seeking emotional health, based on the well known and popular 12 step Alcoholics Anonymous program. It is there to help people who suffer from depression, anger, broken or strained relationships, grief, anxiety, low self-esteem, panic, abnormal fears, resentment, jealousy, guilt, despair, fatigue, tension, boredom, loneliness, withdrawal, obsessive and negative thinking, worry, compulsive behaviour and a variety of other emotional issues.
These groups can be very powerful, and do have the advantage of providing an opportunity to meet and make friendships with like-minded people.
Further Information at www.emotionsanonymous.org, together with a locator for the nearest group in many countries.
Wikipedia has a list of all the 12-step groups available, information about each, and links to their respective websites under "External Links" at the bottom of each group's information page.