Begin today. Unless the severity has reached a point where you are considering suicide, start with conservative treatments like talk therapy, spirituality and vigorous exercise. Antidepressants work with both of the above but they should not be the first option in mild cases. Consider reducing or taking a break from alcohol or drug use as well.
Numerous options. There are numerous ways for an individual to treat depression. First depends on whether you have situational or clinical depression. Exercise and eating healthy can help mild depression. Acupuncture can help mild to moderate depression. Therapy can help mild to moderate depression. For moderate to severe depression, medications are often necessary and extremely beneficial.