If there was charges laid due to this incident then you can fight them in court.

However, if it's just the management of the club telling you you're not allowed in, there's nothing you can do. It's their club and they can let in anyone or kick out anyone at any given time for any reason they see fit.

Now if there was fees for this club and you got kicked out you could go to court and sue for the fees you believe you deserve back.

As for the depression, I'd go see a counselor and try talking about what you think is bringing you down. Most times the onset of depression is not related to one specific issue but many issues.

Richard Shines