Hi Droppersneck, congratulations on being clean for 3 weeks, that is fantastic!
You have been given some good advice in this thread so far. It is early days; I think you need to be gentle with yourself. Were you feeling down/depressed before you started taking opioids? If so, the opioids will have acted as a self-medication, covering it up, but now you will not only be dealing with getting clean, but the depression too. If it came on afterwards then it is likely it is all linked to quitting - depression (or at least low mood) are pretty common amongst opioid addicts in the early days.
There are simple things you can do which - although small in themselves - might add up to something bigger. As mentioned above, exercise is excellent - treat your body well, get those endorphins pumping and have some time out when you don't have to think the same thoughts over and over. Eating healthily is another good one. If your body is in good shape it helps sort your head out too I think. I see you are already on the ball in terms of supplements etc

definitely be wary of benzos - too easy to swap one addiction for another., and quitting benzos is really tough and can be dangerous I would stay well away.
Do you have any hobbies (hate that word) or fun activites/passtimes? If not, how about picking a new one? It's really important to have enjoyable things in your life other than drugs. How about support from friends and family?
If you do feel that you are depressed then seeing a doctor might be a good idea, although it is important to make sure it is not a temporary thing brought on by your drug use/quitting before a doctor starts you on medication - the doc should be able to talk to you about this.
From your post it sounds like kicking the oxycodone isn't your main probolem it is your low mood, but I still think it would be very beneficial to go and see a drugs counsellor (if you haven't already). There are other forms of therapy too - it is worth looking around if you think it might help you.
Don't beat yourself up if it feels like you are not making good progress. You have to shift your goalposts somewhat, and take baby steps rather than rushing and it going wrong. It's hard to tell how we are from inside our heads as welll.
I am going to send this over to The Dark Side forum - I'm sure you are familiar with it, but I think you will get the best advice there - full of compassionate and wise people
BDD > TDS