Nutrition for me has been a big one. I've only very gradually realised the enormous impact my diet has had on my mood and cognition in general.
Sure, I've heard a million times before that a good diet, sleep[1], and exercise[2] have a great impact on one's mood and brain function. And if I was ever challenged on it, I would have said that I believed it. But I never acted like I believed in it, until I actually started to change and improve each of these areas and felt the impact for myself.
So for anyone suffering depression (or other mental/cognitive issues), I strongly recommend you take a very thorough and serious look at what you're eating, and consider the possibility that you might be deficient in some nutrients that are good for you or maybe getting too many that are bad for you.
Nutritional advice is unfortunately all over the place, and it's very difficult to find any kind of consensus on what's actually good and what's bad. Fortunately, you can simply experiment on yourself, and try various things that are widely regarded as "healthy" and see how they affect you (just thoroughly do your research first and be safe!).
Doing this does take motivation, something very depressed people don't tend to have much of. So in whatever way works for you, you have to first get motivated enough to seriously want to make a change and do the hard work it takes to get there. Perhaps that way is medication[3] or therapy[4]. Once you have the real motivation to change, the really hard work begins.
In my case, all my life I had verious allergies which kept me from eating certain foods which I later found out were really critical for brain function. In addition, I was a really picky eater, and didn't like to eat a lot of food which was good for me. That made it worse. Even worse yet, I didn't take my diet seriously, and ate lots of things which I knew were bad for me and on top of that didn't have a very varied diet.
All of that eventually caught up to me, and I suffered from a variety of medical conditions which I'm discovering are diet-related. I'm slowly making positive changes and am seeing impressive results. I'm still nowhere near where I want to be with my mental and physical health. But both are improving and I've finally gotten interested in diet and nutrition, investigating them, and am taking them seriously.
Thanks to improvements in nutrition, my mood has improved a lot, I am more motivated, and have a lot more energy than I used to. My physical health is improving also. As I eat more nutritiously, I hope to see even more benefits in the long run.
Some other tips which, I think, have saved my life over the years:
The most important one is the ability to gain perspective. A lot of depressed people tend to get stuck in a sort of tunnel vision and magnify their problems all out of proportion, thinking that theirs are the most important, only, and worst problems in the world. I believe my study of philosophy, psychology, religion, history, my experience in living abroad, and interest in the fate, outlook and suffering of others has repeatedly helped me to realize that my problems really aren't so bad when compared to those of a lot of other people throughout the world and through history. Over and over again I've seen that it can always be worse, and in many ways even in my worst and darkest days, I'm very, very fortunate. At the same time I recognize that my pain is real, and can be very severe. But it will end. This leads to the next point.
Over the decades of my life, I've had many run-ins with depression. When I was young, it often felt like there was no light at the end of the tunnel, that the depression would never end, and that there was no way out. But eventually it did get better. This cycle has repeated many times for me now, but now I have evidence from my own experience that it always gets better. Time does heal all wounds. So now when I get depressed, I try to remind myself of that and try to keep perspective. I try to just make it to the next day.
I've found that meditation helps. It can help with mental and physical pain, and sometimes helps me to break out of of a cycle of feeling sorry for myself and dwelling on the past. But at the same time, I don't believe it nor any of the other techniques here are a complete answer, as they can be a way of avoiding dealing with important issues, which should be dealt with in therapy.
Journaling helps. I've often felt a lot of relief by writing down what I've been feeling or thinking -- things that I had a hard time admitting to others. More recently, I've started using a portable voice recorder to just talk in to about the things that are on my mind, and do so much faster and more freely than I can write. That's helped a lot.
There was a time when I was in therapy that I kept a dream journal, and analysed my dreams with the help of the therapist. I can definitely recommend that as a way of gaining insight in to one's own mind.[5]
Talking with someone on a crisis hotline can help, but shouldn't be used as a substitute for therapy.. more as an emergency measure. On the other hand, if you're not in therapy and have no one to talk to, it can definitely be a lot better than nothing.
Also, I try not to dwell on the past, and rather look to the future. I try to learn the lessons that are there to learn from the past, and then move on. Looking to the past with the aid of a therapist, however, can be very constructive, and I consider that to be quite different and a lot better than simply going in an endless loop over the same events in the past on your own, without making progress and without learning anything. It's that latter, unconstructive type of dwelling on the past that I try to avoid.
I try to be happy with myself, enjoy my own company, spend a lot of time pursuing my own interests, and seeking out new ones. This helps to deal with boredom, low self esteem, and loneliness, which have at times been major contributing factors to my depression.
Helping others can be a great way to get out of your own problems, to recognize how bad others have it, to feel solidarity with them, and to feel positive about making a difference and being needed. I can definitely recommend volunteering as a way to help oneself feel better in all sorts of ways.
Finally, what's helped me a lot is to keep busy with something (like work and/or hobbies). I don't think this is ultimately super constructive, especially if you keep busy at the cost of introspection and really facing your demons and dealing with aspects of your life you really have to deal with. But it can very effectively keep depression at bay -- at least it has done so repeatedly for me.. until I burn out and am forced to take a reassessment of my life and deal with the issues I've been putting off. So I only reluctantly mention it here. The best, I think, is to keep busy with something that's really fulfilling and is really in line with your highest ethics, goals, and motivations. I haven't found my way to that yet.
[1] - Sleep is super important, and I try to get as much as possible because I instantly see the effect on my mood and my mind when I get little or bad quality sleep for a long time. Getting enough sleep (ideally about 10 hours for me) is very difficult when working in tech, at most jobs, and I see sleep deprivation as one of the major downsides of working in this profession.
[2] - I've experienced great improvement in my mood when regularly doing intensive exercise, like strength training and aerobic exercise. Unfortunately, I've not able to make a long-term habit of it. It's worked for me in the past, though, and I intend to get back in to it soon.
[3] - I generally see antidepressants as emotional bandaids -- they can temporarily stop the bleeding, but won't treat the underlying illness. They can also have some very serious side effects. One person I knew had their emotions dulled permanently by antidepressants. Another underwent serious negative personality changes while taking them. There have been many reports of even more serious side effects, including worsening depression and suicide.
[4] - I'm a great believer in therapy. But there's no guarantee that any particular therapy or therapist will work. It may be necessary to try a lot of different ones until you find the one that works for you. Effective therapy can also take a lot of motivation and commitment to do the hard work on your part for the therapy to work. A lot of people think that therapy is like having a tooth pulled -- you sit there and the doctor does all the hard work. But that's not how it works. You are the one that has to do the hard work. The therapist just facilitates, guides, and helps you along the way.
[5] - Whether dreams have significance and what that significance is is controversial. Some people think they are just random or meaningless, just reflect what's happened in the day, or are just a way your mind has of processing experience and reinforcing memories, but I think they have a deeper meaning and are a way for the subconscious part of your mind to communicate with the conscious part (a Jungian view). I could write another very long post just on dreams, but I'll spare you. If you're interested, read up on the Jungian view of dreams, and that's close to my view. Jungian therapy in general is the type I prefer, though I have some problems with it -- in particular, I'm not very big on all the myth stuff. But apart from that, I find it to be the most insightful and beneficial type of therapy for me.