For depressive episodes, I take medication. But before I was prescribed meds, I did the following:
Write a journal - to get all the thoughts out on paper, of why I'm sad and what/who's bringing me down.
Make a snack - sometimes a little comfort food is all you need to lift the moods a bit. I suggest dark chocolate: not only is it good for you, but chocolate raises the seratonin levels inthe brain, which make you happier.
Listen to happier music - I suggest Mr. Blue Sky :)
Watch a movie that can make you smile no matter what - For me, it's always always ALWAYS Sound of Music. Julie Andrew's voice takes me places :)
I hope this was helpful to you, and I hope that, if you do suffer with depression, that it improves in time. God bless.