Search for the root cause of your depression. Although it may seem that there are multiple causes of depression, there is often one main cause. Figure this one out and this is the one we will deal with.
Once the root cause is identified, spend some time thinking about the root cause only. For example, if it is a job loss, just think about the job loss, the fact that your friends still have a job but you don't, the fact that it is difficult to find another job in this economy etc. The key idea here is to voluntarily think out aloud all the negative aspects of this one core issue. Once you do this, you will realize that the pain of this core issue slowly withers away. The reason is that the pain is often due to our attempts to deflect our thoughts from the main issue which causes a conflict. On the other hand, if you voluntarily discuss the pain openly, then there is no conflict and hence the pain reduces.
Once you have thought out the various aspects of this core issue, your mind is now free to figure out a solution for this core issue. You will be surprised how your mind can think about ways to resolve this issue which were earlier not apparent due to the cloud of depression. Now, that your mind is clear, think through the solution which will resolve this particular issue.
Repeat the steps above for the next core issue causing the depressionThis articles lists some simple steps to bounce back from a depressing mood.