I was chronically depressed for 30 years. For most of that time I was passively suicidal. On mental health newsgroups I used to frequent I was even called "the suicidal one". A good bit of bandwidth on this website is taken up with my depressive whining. I felt my life was hopeless and I was simply someone who was incapable of managing life. So it was quite a surprise to me when I realized a few months ago that I know longer considered myself a "depressed person".
I say this as testament to the fact that even within its darkest constraints there is room for growth and change in depression. I would say seeking psychological counseling is of primary importance simply because most depressed people have a tendenccy to live inside their own minds. The only feedback they receive is their depressed inner monologue. CBT has long been considered the gold standard for depression treatment, but increasingly other therapies are coming to the forefront. ACT, mindfulness based therapies, interpersonal therapy, and DBT are all effective. There are also self-help books for all of these therapies. In fact a lot of researchers think it is the B in CBT(behavioral change) that is really the effective component so any therapy that gets you moving and engaged in life can be a great help. I was fortunate enough after a dozen years of ineffective therapies to discover a hospital next to me offered a relatively new form of therapy called CBASP that specifically treats chronic depression. Even just a friendly face to lean can make a world of difference so help is out there.
I believe one of the insidious things about depression is how easily you can become comfortable with it. It can protect you from what you fear. It can give you an identity when you feel you have nothing else. It tells you you are safe and warm in bed, there is no reason to get out. It becomes very familiar and often the familiar no matter how painful seems preferable to the unknown.
The most important thing you can do in depressiuon is not to surrender to the inertia. Go out for a walk, read a book, watch a funny TV show, cook a fancy meal, or anything that might bring you pleasure or a feeling of accomplishment. And above all maintain and expand relationships. It took me a long time to accept the wisdom of my therapist when she told me "depression isn't an emotional problem it is an interpersonal problem. The best thing I even did during my depression (and during my life" was stick with a totally unexpected romantic relationship despite its painfulness at times. In two months that girl will become my wife. If I had surrendered to the depression I fear would be alone in a one room apartment today.
I sneered at people who used to say this to me but depression is not a life sentenced and even small changes can make a big difference. Good luck to all of us battling this.