This may or may not help you but since asked specifically what I do in a likely situation:
Focus. Whatever caused your depression, you must be aware of the fact that it is not a normal state of mind, so you should get out of it as soon as possible. This also means that if you wasn't always like this, and you experienced "normal" life before, there was something happening which is the cause of this change. It may be anything, from emotional shock to physical causes.
Try thinking of it as a riddle to solve. If it is unbearably painful, to the point that your daily routines become hard to complete, you should consider taking a break - peaceful environment often helps you thinking stuff out more thoroughly. Try creating a list (even if only virtually, or in your head) of what were the possible changes that happened in your near past. These can be changes in your diet, which directly affect the chemistry of your body, or can even be a change in your environment (it probably sounds obvious). If your lifestyle is static or passive, you can try introducing some exercises. Lastly, maybe this is the hardest, but you should think about your relationships with people who are close to you. Think about what possible interaction could happen which had a significant impact on you.
I think these would be (and probably already were, but i don't remember specifically) my ideas for solving a problem of this kind. If you are not really good at self-analysis, or you are and tried almost everything but didn't succeed, seriously consider contacting a specialist.