If you think of depression as a broken body part, you may understand the healing process involved. There are different degrees of depression - from feeling blue to total debilitation - much like broken toe to crushed femur. In both cases, it needs to be tended and takes time to heal.
In some cases it is like multiple fractures where you must be hospitalized. In any case, only professional help and time to heal will cure depression. There are many therapies you can take in the meantime to speed up healing - medications, yoga, meditation, etc., but left ignored it can fester and become a serious risk to you.