How do you cope with the combination of stress and depression?

Exercise: Exercise is a great way to relieve stress. Your body releases endorphins during exercise, which can help you feel calm. If you exercise 30 - 60 minutes a day, your stress levels can improve. When stressed, take 5 slow, deep breaths with your eyes closed, then roll your shoulders forward 5 times, then back 5 times. This will slow your heart rate and release tension in your neck and shoulders.

Relaxation/self-care: Setting the time in a day to do something for you, not everybody else. Identifying things you can/cannot control will help reduce stress. Progressive muscle relaxation, deep breathing, guided imagery. Also, if you're in individual psychotherapy -- you can practice these relaxation techniques with your therapist and apply it later on.