I have found diet and exercise help me. By exercise, I'm talking non complicated, so just swimming helps me relax, and walking with nice surroundings.
For diet suggestions, have a Google for happy foods for depression or similar search terms, and you should get some links which list the type of goodness you need, eg calcium, magnesium, iron, omega 6, and which foods you find these in.
I haven't done CBT, tried counselling and that wasn't for me, but after a couple of bouts of depression I started becoming aware of my triggers and also coping mechanisms more. I try hard to change the way I deal with things now. It's not easy at times, my DH isn't sympathetic to my depression (3 dcs, so I was more prone to pnd, having already had depression when my best friend died), and this coincided with me having a miscarriage and my lovely dad being diagnosed with Alzheimer's, and caring for him at home with my sis as long as we possibly could. DH buries his head in the sand and pretends things are normal, or that I'm being unreasonable, I'm not sure which anymore, but no longer have the energy to try and explain how much of a toll life has taken.
If you can get as much support around you as possible, I would say that's a first step. Also recognising your trigger, has anything specific happened, a build up of things, or just general life has dragged you down? This will help you deal with how you feel now in moving forward to dealing with it, in my experience.
Very best wishes, it's not a nice place to be at all. Be kind to yourself and take as much opportunity to rest and relax as you can x