Finding yourself = Understanding yourself.
Asking yourself what you want out of life, being honest with yourself, observing your weaknesses as well as your strengths, working out what you're doing right, and what you're doing wrong, looking at the people around you and working out who are true and who are not, lending yourself more time to do the things you love.
Maybe the above is incorrect ^ but that's my interpretation of it.
I was very depressed around 2 year ago. When things didn't appear to be getting better, I started to really search and 'found myself'. And then things got better. Even though I still have anxiety-related issues, I'm nowhere near the wreck I was in Summer 2011.
Spending a bit of time being honest and motivating ourselves can very much pay off.