I was severely depressed, and borderline suicidal for a few years. To be honest, I'm not sure what changed exactly. A few things come to mind that helped for sure though. I'm putting them down in the hopes that they might help someone else. I don't think I have any sort of 'solution' for everyone's depression.
At the time, I was unemployed. I was disillusioned by government, religion, love, college, human nature, you name it. A lot of bad timing in my life hit all at once. I read the wrong sort of philosophy at the time, and it only exacerbated the problem. I stared into the void until it stared back, so to speak.
Eventually my self-loathing and depression quieted. It became a background noise rather than an unavoidable, unquenchable thought echoing endlessly.
I did volunteer work. Keeping myself busy helped stave away the feeling of purposelessness. Being on a regular schedule was good for me. Eventually I got a job. That definitely helped. Someone was paying me to do work they didn't want to do. It made me feel useful. I didn't like the job, (hell, I still don't like my job) but that's OK.
I read something that really resonated with me about how some foreigners always reply with 'I'm okay' when asked how they are. To them, being 'happy' was a fleeting feeling, and being 'OK' was the general state of life. That became my new goal. I no longer wanted to be happy. I just wanted to be 'OK'. My focus on happiness and my inability to grasp it for more than an afternoon made me feel defective somehow. Now I'm 'OK' almost all the time, with small bouts of sadness/happiness depending on the immediate situation. I feel like that was important for me. I needed to realize that happiness was just as much of a bullshit feeling as sadness is. I can't cry 24/7. I can't laugh 24/7. A brain gets tired doing either for too long. For most people, there is no 'perfect' job, or wife, or anything. When I recognized that, I could start enjoying the positives of the friends/job/life that I had.
I spoke with my father on some of the existential crises I was having, and he basically told me to 'stop thinking about it'. He was right. I had come to the conclusion that everything is pointless and then you die. I couldn't refute it, and no one could change my mind. So I resolved to ignore it, and operate like everyone else does. Go to work, hang out with loved ones. Or find people to love. Trying to 'stop thinking about it' is easier said than done. For me it was like trying to stop chewing my nails. If I caught myself doing it, I would distract myself with something else. I wrote short stories sometimes. Other times I'd just find a picture with some puppies in it.
I didn't take medication because I was afraid I'd never get over my issues, and medication would only act as a band-aid. But if it helps you take the first steps, go for it.
TLDR: I have no idea what works for everyone. For me it was 1. Work. Any work will do. 2. Don't think about deeper meaning. 3. Focus on being 'OK'. Try not to think about how you feel so much in general. 4. Give your brain the time it needs to heal.