Exercise (Yoga, swimming and running are great), eat healthier (no junk food, less sugar), and get some vitamins (deficiency in vitamins like B12 can cause depression). Go outside more often. Talk to people more often.

These methods can cure many cases of depression, even very severe ones (I speak from experience).

If all else fails, there are medications and professional help. There is nothing wrong with the professional help method, but it can actually take longer to see real results, and it's easier for the problem to reappear. The natural method is cheaper, too.