When does depression happen? When your energy is low, that is when depression happens. Depression happens when you lose the will to fight. When you get stuck in the question, "what about me", then you get depressed.
Learning to see life from a broader perspective, increasing your energy, your prana can help get rid of depression. You can raise the your prana by exercise, by proper food, by meditation, by breathing, by Sudarshan KriyaTM and by all these activities. Then you will feel lighter, happier, more enthusiastic.