I was really depressed a few years ago, so bad I had to get help. There seemed to be no way I could come out of it without professional help, so I went to a therapist. She wouldn't treat me if I took antidepressants, so we proceeded with her idea of what would help. I didn't find her terribly helpful or insightful, but not useless. A couple of things we did work on together did indeed help:
--Sleep. I was getting hardly any sleep at all each night and I have realized that sleep and depression are intimately tied together for me. When I start getting depressed, my sleep goes to hell. And when I start sleeping poorly due to being too busy or whatever, I start getting depressed. I worked with the therapist on ways to "steal" more sleep from my day, even if it meant napping at the office on my breaks. I needed more ZZZZs
--Outside resources. My therapist encouraged me to build up an outside support network of family and friends that I could turn to for help, conversation, companionship, etc. I was trying to "go it alone" and be completely independent in my misery. It helped to start having people I could turn to in my life.

The next big thing I did to help was get a different therapist who was a great fit for me and do psychotherapy with him. He was just so wonderful and skilled and help me solve some big problems in my life. Making progress on my problems helped improve my mood. And having a warm and caring therapist in my corner helped too.

Good luck to you in your efforts to manage and conquer depression.