Yoga is a good method for battling depression. The poses described here are a constructive way to help release tension, improve mood and find balance. There are many, many more poses out there, and I suggest the two websites listed below as a way to discover more yoga asanas.
Taking a proactive approach to depression is half the battle. Simply putting forth the effort to heal the mind and body through exercise is a positive step on the path to good health and well being.