Underwater image restoration is a challenging task because of strong water effects that increase dramatically with distance. This is worsened by lack of ground truth data of clean scenes without water. Diffusion priors have emerged as strong image restoration priors. However, they are often trained with a dataset of the desired restored output, which is not available in our case. To overcome this critical issue, we show how to leverage in-air images to train diffusion priors for underwater restoration. We also observe that only color data is insufficient, and augment the prior with a depth channel. We train an unconditional diffusion model prior on the joint space of color and depth, using standard RGBD datasets of natural outdoor scenes in air. Using this prior together with a novel guidance method based on the underwater image formation model, we generate posterior samples of clean images, removing the water effects. Even though our prior did not see any underwater images during training, our method outperforms state-of-the-art baselines for image restoration on very challenging scenes.