Hey don't feel embarrassed about going to your GP, they are very good at dealing with and getting help for people who suffer form depression, and it happens to the best of us from time to time, so go and get some help.
The low feelings will effect your control as depression does physiologically effect you ,not just mentally but also physically . So your control will be effected, and this alone will exacerbate your feelings of being down on a physical and emotional level...it's a vicious circle, swings in blood sugars cause swings in moods, along with feeling low it is a vicious circle.
Your Diabetic team will be good to get in touch with for depression, they really do understand how this does effect Diabetic control. I suffered very bad PND and they were the ones who picked up on it and watched me very closely while pregnant even to make sure I got help as I had had an episode of clinical depression in my early 20's.
Don't suffer in silence a short course of medication might be all you need to see a light at the end of the tunnel, or maybe just to speak to someone alone may help. Try your DSN they are usually very good with this sort of thing and will fully understand.
Let us know how you go on and all the very best