Some things that have helped me get a grip on depression (some mentioned above)
To the extent possible reduce contact with negative, pessimistic people (including close friends/family members)
Challenge your negative thoughts. Ask yourself, "what is the worst thing that will happen if this thought comes true? And then what is the worst thing that will happen? And then what?... and so on... this takes away the power of those catastrophizing thoughts.
Light, light light, Get outside. Even on a cloudy day, spending time outdoors is better than sitting inside in artificial light. (check your vit D levels)
Get a pet. It gives you something to love and take care of that won't add to your problems and worries.
I have to second the caffeine tip above. I have never been a coffee drinker but a small cup (black, no sugar/cream) in the morning (especially in the winter) does wonders for my mood.
Clonazepam helped me in a pinch. I used it during one particulary bad stretch of anxiety (closely linked with my depression) a few years ago. It reminded me of how I used to feel before major depression took over. Since then, I've been able to settle back into a relaxed state when anxiety/depression strikes. I will use it again if all else fails.
Do whatever you have to do to get good sleep. You will never feel better if you're not sleeping well.
Good Luck on discovering what heals your soul.