Just stop being stuck. I was forced to change things due to my circumstances. I'd literally die if I didn't. Like it was pretty bad (as in near starvation bad), and I was at the bottom of the pit.
I don't know what it is that is making you depressed, but I guess it doesn't really matter. You need a change in every sense of that word, just like I did. I think that's true for anyone that suffers from depression.
It will be a year soon since I've gotten a job and that's when things started improving. Of course, there were ups and downs, but how I've felt was ALWAYS better than how I've felt when I was jobless and just wasting away here on these forums.
Here's a little comparison
Me from a year ago: Anxiety to even go outside of the apartment, strong phone anxiety, scared to ask questions, not trusting anyone (very much focused on bad in people), giving quick yes/no answers in order to avoid longer conversations with people, pathetically low self-esteem, No energy to do anything that I want to do, and of course, depressed.
Me these days: Went to a public pool with hundreds of people there and I've enjoyed it very much yesterday, Taking fencing training in 5 days from now (It's free for a couple of weeks, and then you can join the club, which I probably will), Job's going well (on a 2 weeks vacation now), and I have the energy to do things that I want to do and learn new things that I've always wanted to learn, I can call numbers and ask about things over the phone without any feeling of anxiety (phone anxiety was a huge problem for me, stemming from low self-esteem and not liking the sound of my own voice, so overcoming this was a huge victory for me).
There's of course still things that are a problem, but I'm working on it and improving every day. Talking with people obviously being the hardest thing for me. I'm doing a lot better than before, but it's still not on a level that I want it to be.
So anyway tl;dr, here's my suggestion for you
I know you said you've tried working out, but keep at it. Also eat healthy and get sunlight. And this shouldn't feel like a chore. It might at the beginning, just like every new habit that you're trying to add to your life, but just stick with it. You might want to use "HabitBull" app, it helped me develop some good habits that I wanted to.
I would also recommend you read The Six Pillars of Self-Esteem by Nathaniel Branden. (I honestly think every single person on this planet should read this book)
Remove negative people from your life, especially if you have those that speak out openly on how they don't think that you can achieve something that you want to achieve. Your vision of the future for yourself is very important, so don't let anyone smear it for you.
In case you don't have a vision (dream), you need to define it for yourself, because you need something to drive you. Don't expect to walk this earth aimlessly and stay happy.
One sort of mantra, well, I'm using it as a mantra, but it's really something that you need to start believing. It's that "No matter what you say or do (socially), you will be fine". It's easier said than done, of course. But think about it, and sort of internalize it over time.
On your path to self-improvement, you'll probably have ups and downs. Say you start working on yourself and in two months something happens and you fall a bit, at that point just try to stop and then ask yourself "Alright, I'm feeling REALLY bad right now, BUT am I feeling better or worse than I did 2 months ago when I started this?". This has stopped my depression from resurfacing countless times.
If you don't cut corners and actually work on yourself for 2 months, it's highly unlikely that you won't be in a better position than where you were before you started. So when these little falls happen, and you ask yourself this question, it will sort of stabilize you and keep you going.
And just to be clear, I'm not saying that you have some of these issues that I've had and still have (some of them). What I'm trying to say is that change is important in order to deal with depression. At least in my experience.