I'm currently having major depression, so I never truly feel good or happy. I just do things that would normally make me happy, so I feel less sad all the time. I cope by putting hours upon hours into music and composing because that's my thing. But then again, sometimes it's just so hard to get out of bed.. I need an answer to this question too, honestly.
Music, Twenty One Pilots in particular help me a ton, sleeping, lots of sleeping... I take hot baths because they help me relax, I occasionally meditate. Sometimes it's hard to get through, it really is. So I think about everyone around me and how I don't want them to have to cope with me being gone even if I feel worthless and how I don't want to be another trans statistic, you know?
I listen to music, mostly MCR, Black Veil Brides, Bob Dylan, and much more. I hang out with my friends, they are very helpful and always cheer me up. I also read a lot when I'm down.
When I had a severe depressive episode, everything I liked doing suddenly became boring and felt like work rather than enjoyment. Surround yourself with positive people and push yourself to get going. Ever since I went on meds, my life has been better. I'm trying to get off of them, though. Talking about it helps too.
Of course music. I struggled (read as: struggling but getting better) with self-harm. If you do to, drawing on yourself with pen works and then you end up with cool looking art on your body. Tea is also a nice thing to drink when depression hits you like bricks.
Telling yourself that even though you feel really horrible at the moment, the feelings will pass. Always remind yourself that the feelings are temporary.
If you mean true depression then you should consider seeing your doctor if you haven't already, then maybe a therapist or councillor. If you mean generally feeling down most of the time then it still may help to consider the above option but there it is more likely that you can help yourself. There are a lot of books out there to help improve your happiness and success in life that can be useful. If you do want to try this though take your time choosing a book, there are some really bad ones. If the reason you feel unhappy is because you generally feel out of control of your life, like nothing matters and you don't achieve anything then you could benefit from setting some goals for yourself. I read a book called How to do Everything and be Happy and found it useful for that reason though it depends on your own circumstances. Finally I'd say whenever you feel down or depressed, don't try to hide it. I don't mean go around dragging the mood down, I mean share it with your friends and family. Talk about it, explain how you feel and don't ever feel embarrassed to ask for help. Everyone will feel this way at some point in their life so it's natural to want to help others going through it. Hiding it just makes people think the wrong things about you and not want to help.
I write poetry when I'm going through a depressive episode. That, and a LOT of sleep usually gets me through the worst of it. The meds I'm on now though seem to be the right dosage, and I haven't had a depressive episode for I don't even know how long.