Are there some writing activities than can help depression?

Free Writing. Free writing is just writing whatever comes to mind, without thinking about it. It might provide you with a clue as to what is causing the internalized stress that you are experiencing as depression. On the other hand, talking to a good therapist can do the same and you have someone else to remember and interpret what you are avoiding.
Great idea. Writing a journal can be a great idea. It can be a cathartic experience, to put your emotions and thoughts on paper.