When I was depressed, I distinctly remembering having discovered: “I cannot think myself out of this!” Unlike most things in my life, which I could think myself out of (quite successfully!), this one I could not. That had a pretty profound effect on my core epistemology thereafter.
The thing which really helped me was retreating to my friends and family (who, thankfully, could get me out of my own head).
In my own experience, and in working with people with severe depression, I have found two things to be almost universal. One is that the pathway out involves better noticing of small shifts in consciousness in the present moment - depression is a flatland, yet even within it there are small tiny windows of light that can be noticed and built on.
The other is that, and this especially applies to people that live inside their head, are very smart, very analytical, etc…the body itself provides a pathway out. Without even getting into somatic psychology, the act of doing things where one is experiencing felt sensation in the body provides a ground for consciousness outside of the grey hazy thought world.
Maybe the first step for me is to make myself look good. Clothing, body shaping, workout, and cleanness.
I have a (rarely updated) email newsletter for reasons I've forgotten