Is it normal to feel severe depression, pain, and regret after committing a sin, and then to return to committing the same sin after a short period?

Regret after committing a sin is a good and praiseworthy thing, and it indicates repentance. As for returning to sin after repenting from it, that is a blameworthy act. The repentance should be sincere, accompanied by a firm resolve not to return to the sin and to strive against one's self. If one's self overcomes them and they return to the sin, they should not despair of Allah's mercy. Rather, they should repeat the repentance, and seek Allah's help for sincere repentance and steadfastness.