Do anything! And it's better when it involves other people and/or Mother Nature. It's almost impossible to be depressed and active simultaneously. I know this from a lot of painful first-hand experience.
In the depths of depression I would sometimes go for long power walks outdoors and I'd feel better when I did. I'd often return home and the moment my activity stopped, I'd feel the depression descending and I'd turn right around and go back out for another walk. Feeling the sun, being aware of Mother Nature, and moving, which releases endorphins (our brain's happy juice), gave me valuable respite.
As long as I was able to get involved in another activity, I could keep the depression at bay. Depression by its very nature is very selfish and requires us to focus exclusively on ourselves. When we can get beyond ourselves, we can get outside of ourselves, and when we are other- focused our spirits will rise.
Feeling blue is exacerbated by the desire to want to lie down or resort to couch potatoing instead of being active. Get active. Push yourself out of your discomfort and out of your aloneness. While others can and will help you, you must help yourself.
(Note: Long term depression and serious mental illness requires the care of knowledgeable medical, traditional, or holistic professionals. I am not a doctor, simply a person managing depression effectively.)