Sometimes I think I am in purgatory! Has anyone ever felt this way?

I have been suffering from depression for about 10 years now and I take zoloft to balance me out cause If I don't take it I try to harm myself all the time and am seriously suicidal when I am off my meds. With my mind set I sometimes believe I am in purgatory. I suffered a really bad concussion from a fight I was in when I went to high school and almost died. I sometimes believe that I died back then and am in purgatory now. I just want to get rid of these thoughts and no matter how hard I try to block out these demons that drag me down they always creep up on me and get to me in the end. Has anyone ever felt this before? This is something I am to embarrassed to share with anyone... that's why I am asking through this message.