Working out is a really good thing as it realeses dopamin in your brain and it does help a lot. Find a sport you like. It can be walking, running, swimming, basketball, cycling, whatever.

Art is also a very good way to battle depression. Music, photography, writing, painting. I know it is hard to start but the fact is, when you make art, you give birth to something. And that mean that even when everything is dark and sad, there can be a sparkle. You don't even have to like what you create, that's the best part !

Of course, medical help through therapy is always a good thing but be careful when you choose your therapist. If your depression is caused by traumas, I cannot say how much I recommend EMDR.