The standard "treatment" for depression tends to be counselling for
emotional problems, reducing stress, etc. However in my case the major
factor in my recovering from depression and chronic fatigue syndrome
was simply to have more goals and motivation in my life (or, what
Mihaly Csikszentmihalyi calls "Flow"). I only came across his books
after recovering, but I would definitely recommend anyone suffering
from severe depression (especially where there doesn't seem to be
any obvious cause) to look at his work.