Thanks for asking this question, because you've raised an important issue that I want to address publically - a lot of people wonder about this. I'll post my reply, but of course, will change any identifying information to protect your privacy.
Having an emotional reaction and crying and sobbing are all good signs that you are responding well to the imagery. THERE IS NOTHING YOU ARE DOING WRONG. On the contrary, this is a cathartic reaction and it will release blocked energy and free up your emotional juices and life force. Depression is in part a condition of submerged energy, power and feeling.... almost like a foggy blanket has been thrown over you, constricting your ability to be fully yourself in the world. You’re crying your way out of it and, very simply, you’ll cry until you don’t need to cry any more.
Sometimes this is a once or twice thing; sometimes it takes weeks; sometimes months. There’s an inner gauge of body-mind wisdom that knows when you’ve cried enough, and then you won’t have the reaction any more.
As to the 'emotional wreck' part, it sounds like you might be having judgments about your sobbing and crying reaction, and this is probably what's causing you to tense up and feel 'like crap' afterwards. You've been conditioned to think that if you're crying, you're a mess. Or something is terribly wrong.
Not so!! If you're crying, it means you need to be crying. So try not to judge this. (That's another key aspect of depression - being extremely self-critical and interpreting events in a negative way - as if somebody took a dark paint wash and brushed the dripping goo across the whole canvass, muting the colors and killing their vibrancy!!) But if you can’t help yourself, OK! Try not to judge yourself for judging this!!
It's a process. It's incremental. It moves at its own pace. You may end up feeling like crying and sobbing for a few more weeks. Let it happen!! It's ultimately going to help you. One day, you'll be all cried out. And you'll have a lot of energy back. And in the meantime, try to consider that after each of these episodes, maybe you're not an emotional wreck - maybe you're just exhausted from crying! (And it might help to listen at night, so you don't have to go anywhere afterward, all red-eyed and puffy and wiped out!)
So please keep up the good work, and try to tolerate just feeling what you feel. Trust in the process, because these are very good indicators that you're moving out of your depression (....which, I know, is also difficult - because yet another feature of depression is a cognitive distortion that declares a lot of stuff is hopeless and helpless!! Don't believe it!! That's just the depression talking, not any true measure of reality!).
I hope this helps. Please let me know how it goes.