One of the things that helped me the most was to get priesthood blessings. I got them
very often from my husband. I realize that some people may not have that resource so close and readily available. If you don't, please ask for home teachers, friends, bishop, dad, or anyone else you know to give you a blessing... as often as you need it. I would write each of these blessings down (at least everything I could remember after the blessing was over) and read and re-read them often. Now, as I read back on them I can see how the different promises that were given in the blessings were fulfilled as I held up my "end of the deal" of course. Most of them took a while to come to pass but they did! These blessing not only helped me overcome the depression through encouragement and instruction but also helped build faith in a major way!
If you do get these blessings don't forget to write each one down and read them often. Not only will it be a source of comfort for you on those difficult days, but it will also show the Lord how serious you are about overcoming this by using His help.