Compulsive shopping with depression?

I have very depressive phases in my life. When that happens, I spend thousands of euros a month on consumer goods like suits, watches, golf clubs, and even leased cars. I do this to temporarily feel better, and it's like an addiction. When I'm feeling better, like on vacation, I don't spend any money at all. I'm getting into more and more financial trouble. How can I solve this? Every time I feel better, I think about the stupid decisions I've made.