Firstly there is a difference between stress and depression. Depression is a medical problem that needs to be addressed. It is very common and is not to be ignored. See your family doctor or any of the 'blue' sites and investigate it.
Stress is different to depression but often confused, if you are feeling unable to deal with situations, feel 'teary' want to hide from situations for no real reason, or are contemplating any sort of self harm that is depression and needs help.
Other ways. Believe it or not sleep and exercise. Stop alcohol intake, alcohol, stress and depression are a powerful mix. They win and you lose. Go to bed and get 8-9 hours, go for walks, etc, eat healthy.
One thing that really helped me, and it sounds very silly, is don't watch depressive TV. I was surprised by the number of people who get upset watching the news. Depending upon your country, you can watch loved ones die, see people starve, see futility. If it upsets you don't watch. That is not to say to ignore the problem but you choose how you view the problem.
There is no reason why you have to hurt yourself watching stuff you do not need to look at.
