One of the hardest parts of losing weight is stopping the emotional eating! You are doing good removing yourself from the food temptations, although it sounds like it may be a good idea to get a little social interaction. Is there a friend or family member you can call and chat with?
I've dealt a lot with emotional eating. One thing that's helped me is the Beck Diet Solutions book. It trains you to think like a thin person and gives you strategies for dealing with challenges. I also have depression so I understand the overwhelming sadness thing. I know it's not as easy as just "cheering up". You've made a step in the right direction though, trying to eat right and be healthy. You WILL feel better for it, I promise.
If you are watching your carbs and sugar, part of the "overwhelming sadness" could be withdrawal from the sugar. Sugar/ carbs raise your serotonin levels, which elevates your mood, so your body is conditioned that when you feel bad, you eat some sweet treat and you feel better. There's good news, though, exercise does the same thing! Yeah, I know, it's not quite as enjoyable. And I've definitely done that thing where I drive to the gym but don't get out of the car. I've also done the thing though where I'm having a really bad day and feeling really down, and I go to the gym and actually feel better (I was pretty sure that was a skinny person myth, but it's really not). One strategy I've used is to tell yourself when you get to the gym, I'm going in for ten minutes. I'll go and do ten minutes and then I have permission to leave and not beat myself up over it. Chances are that after you do the ten minutes, you'll be okay and won't mind staying to finish your workout, but if not, that's fine too-- hey you got 10 minutes!
Give yourself some credit too--- you've done a great job! You've stuck to it for 3 days!!
I hope you get to feeling better soon, and I hope this wasn't too preachy or anything, I just know I've felt like you are feeling now and these are the things that helped me.