The first skill you need is to observe and recognize it. It's not the same thing as disappointment, grief, or frustration. Those things are always reactive to some stimulus. Depression can be reactive or not, but it invariably brings certain mental and physical symptoms that identify it. All possible solutions that arise are rejected as hopeless. My whole mental process regresses to simple pain avoidance and comfort seeking. I feel a dull heaviness around my solar plexus, and often a tightening of my throat. It becomes very difficult to make decisions, and tasks to which I felt more than equal yesterday (or even an hour ago) seem suddenly impossible.
But I have a process, and I keep refining it.
Breath. Keep breathing, and if possible, counting breaths until I feel more still and rational.
Disengage all non-essential muscle tension. Jaw, forehead, shoulders, back, fists, hips, legs, toes. Let it go.
Check environmental conditions. Am I in physical pain? Very cold or very hot? Extremely hungry or thirsty? Am I under some kind of attack? No? Good.
Fact check. My momentary circumstances aren't the same as my Lot in Life Forever. Even though I feel this way now, I won't feel this way forever. I'm just one little person standing here on one little planet at one moment in an (as far as we can tell) infinite Universe. This painful experience is tiny, and irrelevant. This is not minimizing my needs or personal value. This is gaining perspective, and there's some serious magic in it.
Now act. Exactly what task is before me? I do not look beyond the very next step that needs to be taken. I usually think that task is impossible, and I am always wrong. If I keep putting one foot in front of the other, I can usually accomplish what needs to be done, and find myself back in my safe, comfortable home with my loving mate and my cats before I know it.
This is the method I've developed. So far, I have never been hospitalized for mood disorders, and I continue to be a Productive Member of Society ™. Maybe I should write a book.