Music always relieves feeling a bit down. Just gotta find the right song.
Some of my friends had it worse
Some were better off than me
All the same somehow we are
Looking for our sanity
I'm thankful to be alive
I'm so lucky I can be
Anywhere at anytime
No-one to blame now but me
When I come crashing down
- Lyrics by Tony Harnell, from TNT's Crashing Down, Transistor 1999
TBH a lot of things aren't worth getting depressed about because there's always someone out there who's got it far worse than you ever will. I'm a privileged person. Sometimes things don't go my way and I might not get what I want or I lose a girlfriend etc etc. None of it's that bad.
Some things ARE bad, granted. Loss of a loved one, illness. Sometimes you just feel alone and cut off and that can bring you down. Everyone's entitled to feel down at some point. It's how you deal with it that counts.
You can dwell on things, or respond positively. I genuinely believe that that is a choice you can make. You can take on the mindset that will get you through. It's almost like choosing to be happy. I make it sound simple; and sometimes it's as easy as you make it. Easier for some than others, granted. I give some people this advice when they've had another break up or if their parents have had a fight or they say they have no friends and they really don't want to hear it because they think they're going to feel crap forever, and that's the kind of attitude that frustrates me (because it's the antithesis of myself and maybe I should respect that some people aren't the same as me). But when you reflect on a lot of things that make you feel bad in day to day life, they're not as bad as they seem at first, and responding positively will often yield a positive result and relieve the problem.
I'm getting philosophical here, so I'll share my metaphor for life:
Life's like a mountain that you climb every day, and you've got to reach the top. However, sometimes you'll come to a challenging vertical face that seems impossible to climb. You can either give up and go to rock bottom, or you can work at it, find a foothold and work your way over, or find another path around, maybe alone or with the help of a fellow climber. Either way, there's a way over every obstacle if you're willing to try. And it's worth it, because once you reach the top of this mountain, it's a damn good view.
So that's how I deal with feeling depressed or down. Stick it out, there's a way over anything.