I would look into therapy/counselling if I could. Often that works better with depression than just pills alone.

Otherwise I would try to think up games; an "interest scavenger hunt" maybe where I arbitrarily pick and activity and start doing it, see what thoughts I have/where it leads me, what I "see" and then jump to that and follow it to the next thing and then the next, etc.

If I decide to vacuum my upstairs, for example, and look out the window and wonder "how deep is the snow on the deck?" I would go find a ruler and go out and measure :-) Or, "what kind of bird is that" I would go to the library and find a bird book and look it up (after taking a picture of it with my phone camera or writing a description, etc.). Maybe at the library I see a book on Audubon and get reading about his life growing up in France and remember that last month I wished my French were better so I could talk to French Canadians in Florida, and on and on like that, as little or much as you want (one can stop and start doing something in depth).

Thinking of the problems of being depressed, I am always reminded of the adage about how it's hard to steer a vehicle (car, sailboat, anything) that is not moving very fast. It is hard to be interested if there isn't some momentum going, whether one is depressed or not?