"Mindfulness"... now there's a buzzword that gets thrown around a lot in psychology.
The best way that you can fight depression is by investing yourself 100% in everything you do. Experience the moment. Use your senses and really take the time to observe the world around you. You'll find that it becomes grander and more miraculous as you do so. To quote an old Buellerism... "Life moves pretty quickly, and if you don't take a moment to stop and look around a bit, you just might miss it."
I have been fighting depression for years. I have bipolar disorder so I have upswings and downswings. Winter is particularly bad for me because of the lack of sunlight. I have only recently begun to really put into action a lot of my coping skills that I have used to move through my depressive states. They might not all work for you, but, then again, some of them will:
-Reading a good book (I love sic-fi/fantasy novels and can read them for hours. Taking the time to really visualize what is going on in the book is an excellent exercise in creativity, and a good way to check out of reality for a while).
-Going outside and lying on the grass (Depending on where you live, this may not be possible this time of year, but when you get the chance, DO IT, it feels so great to physically connect with Mother Earth).
-Scented oils (Relaxing).
-Baths (Also relaxing).
-Being with friends/family (Isolation is bad for depression. Even if you are just by yourself in a public place you still can connect with other people, albeit indirectly. Getting out of your room and going places is also important, I have found that my bedroom is a cess pool of wasted time and misery).
-Dressing up/doing makeup (This works with both dysphoria, and for your own personal gratification. Making myself look beautiful makes me feel beautiful and helps pick up my mood some. I tell myself, "I can't be sad with makeup on, because if I cry, then I ruin it").
-Going to the movie theatre (There's no shame in seeing a movie by yourself).
-Exercise (Sounds like you got that down, though).
-Getting good sleep (At least 8 hours, and make sure you have a consistent bedtime. Also, avoid long naps during the day. They might seem like a nice idea, but trust me, they only make things worse... admittedly I am still struggling with this, especially since I have been more manic than usual).
-Art therapy (I doodle my emotions. It's okay if you're not an artist, there are plenty of ways you can express yourself... journaling is a popular one. Find something constructive to do. Start a project of some kind. Build a boat... it a doesn't matter. Putting your hands to use is rewarding. Hell you don't even have to make something, it can be repairing something, decorating something, dancing, singing, playing an instrument).
-AVOID ALL SAD THINGS!!!!! No News. No sad songs. No sad movies. I know they might seem like excellent catharsis, but really, they just fan the flames. When you are emotionally ready, you can have all these things, but not when you're in the pits. They just make you feel like staying there.
-ANIMALS! LOTS OF ANIMALS! DOGS AND CATS!
-Comedy (Laughter truly is the best medicine. I watch The Office when I'm feeling down).
-Meditation (People keep telling me to do this. I'm no good at it, but maybe you'll like it).
-ASMR (It's kind of silly, but I like it. It's very mellow and chills me out).
-Yoga (Something I want to do more of).
So, yeah. There you go. Honestly, the best way to combat depression is to take it moment by moment. At first I was all about not wanting to feel depressed, but that's the wrong way to approach it. You can't never be depressed (oops... double negative). Life is painful, and you will inevitably feel the sting of depression. But as long as you have tools to get through it, you'll be A-OK, and the sun will shine once more.
Think of it like having a bunker. When the bummer bombs drop, you duck inside and wait them out with your favorite books, comedies, scented oils/candles, bubble baths, etc., etc. And keep busy, too. Do your homework and go to class and work even if you don't feel like it. Not going will only make you feel worse. And if you force yourself to do all the things you don't feel like doing, you'll be amazed at what can be accomplished in the darkest of hours. I was depressed all this past year. I wasted countless hours on the Internet and sleeping and staring into space and having panic attacks and yet I still came out with a 4.0 GPA... that's because even though I was in the pits, I knew how important my grades were to me, so I did my work in class even though my body said, "No! Sleep! Feel sad!"
If you are currently prescribed an SSRI and are still experiencing suicidal thoughts, ask your doctor if you can switch to a non-SSRI. Everyone handles these medications differently, but a common side effect to SSRIs (which are your typical anti-depressants) is suicidal ideation, which is, of course, counter-intuitive. If your thoughts ever become plans, go to a hospital and check yourself in, or call someone and see if you can be with them for a while to make sure that you are safe.
There is hope. Go at this whale one bite at a time. Before you know it, the whole thing will be gone, so long as you focus on each bite and not on the massive task of eating an entire whale. (Was that analogy too weird?)
There are always people here to support you and help you through this. It's good that you're reaching out. It's better than trying to tough it out on your own.
Stay safe. And get well soon. <3