I also know exactly what you are talking about. Right at this moment I am in a "mixed" episode but severe depression is very familiar and frequent to me. As I have reported so far, I have been through a lot of psychotherapy in my lifetime. I believe that each person's illness (and how he/she handles it) is different. I also believe that each person's treatment (and how he/she responds to it) is also different. There are several things I try to remember to do when I get (even a little) depressed.
1) I tell someone how I feel. This will only help if, after I tell this person how I feel, he/she somehow has the ability to make me feel better. For me, my brother lives with me. He is also Bipolar, so he knows and understands. He will tell me jokes, remind me of old, fun times together, etc...
2) I have a 3 page list of positive affirmations that I will read. I usually don't really agree with them all but for some reason sometimes they still will make me feel better.
3) I watch a good movie, usually sci-fi or fantasy, which helps me to escape reality.
4) I use my imagination to escape reality. When I was a child (at which time I was being abused) there was a creek in the woods behind our house. I loved to go there and hide. It was my safe zone. My fun place. So now my favorite (pretend) place to go is to this creek.
5) I call my therapist or psychiatrist
These are the things that usually, but not always, work for me. Sometimes, I get so far depressed, I don't think to do any of it. But right now I am very lucky because, as I said, my brother lives with me. And, so does my youngest (24 yo) son, who also has a fair understanding of our problems.
I hope these help and good luck. Keep in touch and let me know how you do. Mickey