If you are feeling depressed, one of the most important things that you can do is to distract yourself. By distracting yourself, you give yourself a break from your negative thoughts which lead to depression.
I distract myself by playing the bagpipes.
Yes, if you see me for therapy, you can be the first on your block to be able to tell others that your therapist wears a skirt on his off-hours.
Bagpiping for me is a relief from stress. It is a physically exerting hobby, and it gives me a chance to socialize with other bagpipers and drummers in my bagpipe band.
What do you do to relax? Just make sure that whatever it is, it has a social component. Doing something with a social component is so critical to feeling better.