Look up some information about mindfulness, and not getting too caught up in your thoughts. This was so weird to me when I first heard it, but now it really helps. I think this page kind of explains it:
https://medium.com/meditation-without-mysticism/stop-trying-to-control-your-thoughts-10da33629cd7#.brs3wecsz
Also, I think the information ACT (Acceptance and Commitment Therapy) provides is helpful. They advocate accepting your thoughts and feelings, and doing things that you value anyway. In your case, "Yes, I am thinkging about pizza. Thank you, brain, world's worst motivational speaker. I can go ahead and drink my Protein shake anyway, because I value my health."
If you feel like your depression is not getting better, definitely reach out to a counselor.
Hugs!