Practicing better self-care. We cut off the connection between what happens to us outside and how we feel inside. They're just part of us, like toenails. If we can learn to step back, catch our breath, objectively examine what we are doing, we can pick our battles more carefully. It's a skill we can develop.
Depression is actually more treatable than most physical illnesses.
But people also need to be open to the idea that meds may be needed for life. Most people I know with depression feel that there is something wrong with them for needing meds. That attitude is a symptom of the disease. Any good psychopharmacologist should encourage you to get counseling as well. You can ask if your therapist is familiar with cognitive behavioral techniques or interpersonal techniques.