It depends. If it is a chemical depression I go to the psychiatrist (at least, when I have that luxury due to being in college). If it's SAD, I get more sunlight, and try to be in nature more, and surround myself with bright colors and stay warm (layers, heaters, slippers). If it's trauma-based I go to a therapist (again, if I have the opportunity; if not, I just write and/or talk about it a lot). If it's exhaustion based I quit every unnecessary obligation and stay home a lot (but not more than 2 days at a time because that starts a cycle of hiding). So I suppose the first step is figuring out where it is coming from.
I make plans to do things that I logically know should make me happy even if I don't want to do them or don't have faith they will work, and do things on this list of things that help me cope when I'm having a hard time. Distraction is very important, because usually the depression has a time limit, and if I can be distracted, I can save up energy to actually work on things, instead of getting beaten down by every minute of consciousness.
Probably the biggest one is to tell people I'm depressed, and how they can help if they feel like it (see the list I linked). This is really important because the worst part of being depressed for me is feeling like I won't be able to connect with people anymore, and that everyone will abandon me for being no fun. The fun-based friends are pretty much out of my life at this point so I know logically that this isn't going to happen, but if I don't tell anyone I'm depressed, people won't realize that I would like them to reach out, and it will look like I am being abandoned even if I am not.