If Zoloft is not helping your mood then the weight gain might be related to your low mood. Check with your doctor if you need a medication adjustment. There are other SSRI type anti-depressants that do not promote weight gain. These include Prozac, Paxil, Luvox. Birth control pills often are associated with fluid retention, which will give you that sense of bloating.
Exercise is a big help.
Dietary wise, cut down on your salt intake to reduce these symptoms. Check with your doctor and carefully explain your symptoms, including those related to anxiety as well as depressive moods. This pharmacalogic tool allows you make the necessary behavioral changes in a less difficult manner. This does not involve nicotine or nicotine related compounds. This strategy can be very helpful in succeeding over the long term.