I've had recurrent depression ever since I was ten or eleven or so. (I'm twenty-six now.) The first bout came when school started to get really hard (I could no longer keep up in class) and my dad got a new job nine hundred miles away from everyone I knew. That was overwhelming and I felt frozen and scared. I started to comfort-eat and put on quite a bit of weight, oscillated from not being able to sleep at all and sleeping far too much, felt tired all the time, kept bursting into tears, getting very touchy and obsessive, etc. At the time I didn't realise this was depression. The bullying at my next school made it worse, although not at the time - it was only after my parents withdrew me from there (after trying everything they could to sort out the bullying with the school) that it hit me. I just crashed. I remember feeling too spaced out and dislocated from life to care about anything much, I wasn't eating now, wasn't interested in anything. The depressive thoughts have followed me since then - fear of the future, paranoia about people not liking me, feeling rubbish about myself and my abilities, etc. They're not with me all the time, but sometimes they come to visit and give me a good whack round the head. My early twenties were particularly bad. I was facing a lot of stress at the time, and I think anyone would have become depressed in those circumstances. Hopefully it will never again be as bad as it was then.
What helped me the most was learning that you really don't have to believe everything you think.
Thoughts are not all-powerful. I had two good therapists, one who worked with me in a very logical way on challenging all the sweeping negative thoughts ("I'm a failure") and learning to see things in a different light; and one who looked with me at my past and helped me to make sense of all the experiences that had contributed to the mental health problems. I'm actually a pretty happy person most of the time, and learning to understand myself better has been a big part of that. Depression is no longer so frightening or so draining if you can understand it and realise that you do have the upper hand here. As you get better at understanding this, you will have lots of times when you stood up to your depression and won to add to your bank of memories, and this makes any new difficulties feel easier to cope with.
Learning to enjoy small things is also important. Maybe you can't have a day without pain yet, but perhaps you can have an afternoon, or an hour. I found that swimming helped me a lot - even on days when I didn't want to get out of bed, if I could just manage to get myself to the pool, I would come out feeling a bit better. Music was also a big comfort, and children's books. I have a huge stash of children's books that are guaranteed to perk me up a bit. They're easy to read (my brain goes a bit like a scrambled egg when I'm depressed) and they come with lots of cheerful memories attached. I like Paddington's ideas too.