You do need to eat more. Talk a multivitamin. You can drink protein in milk, soymilk, or protein shakes. Eggs are good protein, too. Drink more vegetable and fruit juices -- the less sugar, the better. You also need more fiber for your digestive health, so maybe find whole grain bread or crackers that you can eat. Keep up with the yogurt. Eat all the healthy solid food you can.
I encourage you to talk to a therapist or counselor about the depression. It's also a good idea to check in with a doctor about the loss of appetite to make sure there isn't an underlying medical cause that's coinciding with the sadness.
I'm in the same boat.
I've had several deaths in my family this year and I've got some other stresses on my plate, so my appetite has just vanished. I've now lost about 55 pounds (I had lots of "extra" weight). I feel fine, but my family is really upset at my rapid weight loss. I'm in therapy for the grief, and with my husband's help, I'm getting more nutrient rich drinks into my body... and I'm seeing a third doctor to make sure my loss of appetite isn't physical.