Stress can be a major factor in depression and relaxation techniques and activities can help. Here are some suggestions you could consider:

Painting
Watching funny movies
The company of a good friend
Walking in the park or countryside
Meditation
Deep breathing
Yoga
Creative writing
Mindfulness
Aromatherapy
Dancing
A new hobby
Counselling with a skilled therapist
Singing
Listening to music
Visualization
Prayer
Reading positive stories
Massage therapy
Poetry
Having a hug
Repetition of calming words