I think we often get our blood sugar control, our personal behavior and our feelings all lumped in together, and that makes it difficult. I think it is very important to your sanity to not get everything confused. Remember, each of these three things can be going really poorly, but it does not have to mean that all three do poorly. Your blood sugar can be just off track, but it doesn't mean you are behaving badly and it doesn't mean you have to feel bad. And by the same token, you can be depressed, but that doesn't mean you have to behave badly or that your blood sugar must get off track.
I think Erin's suggestion can really help. I like to "separate" these aspects of my diabetes. Give yourself a break. If you have been doing everything right, eating properly and exercising and yet your blood sugar is still whacked, don't beat yourself up. Give yourself some credit.
So think of your issues as three different things. Your blood sugar control. Just apply the principles that you know by heart, but apply them in a formulaic manner, no emotion. Just do it. And your feelings, think about doing some things that make you happy. Do some things that you enjoy where you can just forget about your diabetes. And your efforts to exercise are admirable changes to your behavior, but you should understand that it is going to take some time to figure it out. Get the book "The Diabetic Athlete's Handbook," and give yourself a break. Managing your blood sugar control with exercise involves some added complications.