In addition to the above, there is no harm in looking at the more practical or physiological aspects of one's life. Sometimes we can change the situations we are in that are causing depression or stress, and sometimes we can't. If we can, it is good to work towards making a change.
Also, things like exercise, eating the right nutrients and avoiding unhealthy food, getting enough sunlight and sleep, and certain natural/herbal remedies and vitamin supplements can make a big difference in how we cope with depression and stress. They may not make the situation go away, but they can increase our ability to deal with it and make us calmer and more focused. Allah has given us all these things as blessings, so we should take advantage of the blessings we have to make our lives easier.
Salat al-layl can also help in difficult times. (Sometimes during challenging times, we don't have a lot of energy for prayer; but at other times, it is a good opportunity to spend more time in prayer. Don't force yourself, but also don't neglect to consider it as an option if you are not already doing it!)