There are different types of depression. It can be an illness caused by some brain imbalance, or it can be a normal human reaction to things being a bit depressing. For the first maybe seek medical help and for the second maybe try to improve your situation eg. go somewhere sunny, get a better job, make more friends etc. Also things like gratitude journals, DIY CBT and so on can help with the second. It the US there seems a tendency to overmedicalize and put people on antidepressant pills for life although they have no more effect than taking up exercise for example.