For me, seeing a therapist, of course one with GID / TG specialty which I have. She sent me also to a nurse practitioner for an anti-depressant which i wasn't to happy about (pardon the pun), but i did it and i have been taking "Effexor XR" for about 4.5 months now. seem's to be working, but most importantly the "positive self talk" my therapist has taught me has really worked the best.
lately i have about one or two days of bad, severe depression instead of every damn day. on those days it's important to engage in the positive self talk and work out what is depressing me and stay firm in a better, healthy attitude. it does work at least it has for me.
and of course, i have to further agree that exercise is also a big help in combating depression!!! and combating this God awful, male-large-assed butt of mine!!!
it's a little @ a time. i found out that i was actually addicted to being depressed and full of self loathing strange i didn't see that being a healthcare worker in a substance abuse center

hope that will help you.