(Sorry for any extra blank lines. Software gremlins.)
I've found the major therapies, programs and techniques haven't really worked for me. I seem to get better results with an accumulation of many little things, and sticking with them. It does get easier with time, although it's never easy.
I tend to do better with behavioral stuff, especially when I'm really struggling. As I said to my therapist one day, "When it's really bad, I walk if nothing else. I control what I can. And unlike my brain, my feet do what they are told."
For everything on this list it's not a question of perfect, but better than before. Do whatever works for you no matter how small. I've worked my way up and added to this list over time (with setbacks, it happens). Some days are way better or worse than others.
* Eat well. Nothing fancy, just more fruits and vegetables, less junk, smaller portions, regular meals.
* Sleep regular and reasonable hours.
* Maybe one or two alcoholic drinks very occasionally and never get drunk. No smoking. No recreational drugs of any sort. I've experienced first hand what that stuff can do to people and those around them.
* Walking
* Vigorous Exercise. I need to go to a small exercise class or this just doesn't happen. So community centre it is. I don't like exercise or athletics, so I'm proud of my almost two years of this now. I found a nice group and setting.
* Don't do any one thing for too long.
* Get out of the house* Organize, cleanup, get those chores done. Seriously. Break them up into bits that don't take long and you feel much better for getting something done.
* Run errands
* Learn things. Fix things. Build things.
* See people, even with social anxiety. If you can't do that, talk to people. If you can't do that, type at people.* Learn psychology, after wasting years with therapists that didn't help enough (most of them tried) -- careful with this one, but I'm a good self-learner and cautious by nature
* Avoid my avoidance. So don't overdo "safe" activities that are old habits that don't encourage new things and growth. This one is really hard.
* I started taking piano lessons, despite an extreme lack of confidence. Great stuff. I'll go on about it if you let me.
* Annoy people with my sense of humour

* Dabble in meditation. It helped during my worst episode about two years ago. I don't do much anymore. But I can hold my breath longer.

* Watch for rumination and halt it when I catch myself doing it
* Keep a list of activities, accomplishments and positive events
* Try to maintain a good mindset. This one is highly individual, so I won't go into specifics here.
* Post overly long messages and lists on forums
* All my lists contain onion rings. (Ask Fuzzybear)
I'm probably missing stuff, but that should do for now. Nothing really new. For me, my depression largely stems from my avoidant personality disorder and the devastating effect it has had on my life. When I meet with any success or even temporary relief from that, it helps relieve my depression a lot. So your mileage may vary.

Wishing everyone else the best.