When I had major depression, the two things that really helped me were:
Getting sufficient sleep. My 1st therapist helped me make this a priority. I was only sleeping 2-3 hours a night. For me, depression and sleep are closely intertwined.
Having hope. My 2nd therapist gave me hope that I could solve my problems and get through this period. This helped tremendously and quickly. Then I stuck with him for weekly therapy for help with my problems. It helped so much to have someone "along for the journey."