I go to my doctor and ask for a refill on my anti-depressants. So far, it has worked well.
There is a point that should be made here: depression is an actual medical condition, the Orthodox Church believes in psychiatric medicine (see the book Orthodoxy and Pscyhotherapy, writteb by a prominent Orthodox psychiatrist in Greece), we even have operated in Greece and elsewhere some rather successful clinics for drug users and so on.
So if you do feel persistently depressed, talk to your GP. You will probably not be referred to a psychiatrist unless the symptoms are bad or do not respond to an easily prescribable course of anti-depressants.
I myself once suffered from severe anxiety as my father was dying and on one occasion obtained from my doctor a one off prescription of lorazepam or somesuch to help me sleep. I wouldnt want to take those again; they knocked me out cold, but I am unashamed to say that during that one moment in the horrible stress of the past fewyears before he died, I did ask my doctor for assistance in sleep, and got it.
Not depression, Ive never had that, but I have a relative who did have depression who had some success with regular medical treatment and did not have to go the route of therapy.
Orthodox prayer also assists and can provide assistance when no access to medicine is easily available. Someone who is depressed should talk to their priest as well as their doctor. When I am sad, I try to pray the Jesus Prayer and remember the good things God has done for me; I also try to shut down distressing or upsetting thoughts when these arise, and not dwell on them. Dwelling on them makes the devil happy, and I am not, for one, inclined to give old Davy Jones a pleasant day; at least unless he moraculously repents and stops harassing humans all the time and messing with to our temptations.
So, drop the depressing thought, count your blessings (Thank you dear Lord, that I am whole, that I am healthy, that I have my personal liberty, that I live in a prosperous and decent country, that my relativex n, n and n are alive and in good health, and please bless all those less fortunate than I"), or "Thank you dear Lord for all You have blessed us with"), and say the Jesus Prayer.
I believe one of the Desert Fathers or one of the Fathers of the Philokalia likened the mind to a garden, and you have to drive off the crows (bad thoughts) and other pests before they do damage or make a home, tending it with vigilance and also nurturing your fruit-bearing plants, of prayer and repentance.
I think that is how they would have dealt with it before modern medicne, and this still can work alongside modern medicine, or if your doctor determines you do not meet the diagnostic criteria for depression per se (which by the way, ought itself to be a source of some...relief).