Having known a few people with clinical depression, I can share some anecdotal evidence -

1) Exercise makes a huge difference. This one made the biggest difference. I think that in addition to whatever physical benefits it provides, the sense of progression and improvement from day to day does wonders for a person's outlook on life.

2) Sunshine. Seasonal affective disorder is a real thing. Even if you're depressed year-round, lack of sunlight seems to make it worse.

3) Therapy. While I'll agree with other posters that say it isn't a silver bullet, combined with exercise and regular activity it seems to help. Again, a sense of progress and improvement goes a long way.

4) Antidepressants. I'm personally not a fan only because I believe that sex is important to keeping a couple close, and every person I've ever spoken to that started antidepressants lost their sex drive. With that being said, they do work...but good luck getting off of them ever. The withdrawal/adjustment to not having them is so brutal that most people start taking them again.