Well, I have borderline personality disorder, so that's a whole other thing in itself. But a common co-occurring illness with BPD is major depression, which I also deal with. So fun things happening for Harley over here! The cause of the depression is a mixture of both genetics and my real life situation, so it's a bit hard to say exactly how to 'deal' with it. I doubt that I'll ever really be without it - it's just the way I'm wired, I think. Quite common throughout my family. But it got to be as bad as it was because of real life events, exacerbated due to continual stress and other severe events that I'd rather not talk about.
I was on meds for the depression for the longest time, years and years, and while it stabilised the worst of the depression, it never did much other than brief periods of stabilisation. I wasn't in a situation to change the real life problems that were contributing to the issue, so I had to rely on medication until that changed. Meanwhile, my metabolism had long since gone extinct and all those other lovely side-effects of SSRIs. The SSRIs certainly helped me exist, but saying I was doing anything more than that was greatly overexaggerating things. I have no issue with medication, I certainly needed it. However you have to be treated for the right thing in order for it to work.
But it has gotten better! The stars aligned and real life relented enough to let me breathe and get some things in order. I had also been begging my doctor to listen to me and change my treatment to focus on the BPD itself, rather than the symptoms (depression & anxiety). My doctor had always been treating the depression as the main problem, not understanding that the rather old diagnosis of BPD was much more than an overarching 'thing' and the bigger issue at hand. He finally relented in late December and he has come to admit that I was right! So I've been weened off the old meds since about March and these new ones, a double-punch of a mood stabiliser & a light anti-psychotic, have helped immensely in balancing out the BPD and reducing the influence of depression.
I can't really say I know how to deal with depression and 'get through it'. It was so deep-seated that any sort of relief was nigh on impossible. But I found it very therapeutic to develop a rhythm of buying Tic-Tacs and then taking one of my dogs wherever she wanted to go. Feeling like I was doing good for someone else, making her happy, always made me glad. If you have time, maybe put some volunteer work on your schedule. If nothing else, it will fill your time and give your brain less opportunities to drag you down. Just do something that can show measurable improvement in you & others. I've also noticed that I have very little in the way of Sad Music on my phone - I enjoy my vapid and/or happy songs and choose not to reinforce my negativity with something that may well be beautiful but ultimately depressing. Sure, I'll watch sad movies or TV shows or whatever, but I usually keep my music a nice little garden of graphic sex and synth. I also have to say that developing a very close and comforting relationship with my boyfriend was irreplaceable during this growth period. I really can't underestimate the positive influence his presence has had in the last eight or so months.
Ultimately, 'dealing' with depression comes down to locking onto what makes you feel fulfilled and worth something, then getting into a rhythm. General advice can only help so much.
Sure, I always want to die. I may well always feel like that on some level. But 2016 is looking like the first year in a long time that will end better than it began and that really is wonderful.