It depends on what is causing the depression.
Vitamin D (and sunlight if you can get it), fresh air, movement, just getting outside usually help me. Going to a coffeehouse or bookstore and just reading sometimes helps me. Liver for sure is always good.
It's hard to go hiking in the rain but whenever I'm already hiking and get caught out in the rain it turns out really fun. Sometimes when it's one of those windy days with light, sporadic rain, I go for a run outside and it's exhilarating. Basically doing something opposite of what seems like the right thing to do (stay indoors where it's comfortable).
I'm new to lifting heavy weights and I'm finding that it really makes me super happy.
A long slow run (about an hour) also makes me happy.
If my depression is psychological sometimes it helps to talk to people. I had a lot of luck with Al-Anon in the past. Sometimes it is helpful to help other people with worse problems than you.
Female, 5'3", 49, Starting weight: 163lbs. Current weight: 135 (more or less).
Starting squat: 45lbs. Current squat: 160 x 2