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This will depend on whether it is a clinical depression, or a depressive episode caused by a specific trigger. Since you are also mentioning loss, I will assume it's probably a specific depressive episode and not an issue with brain chemistry. They will need different advice, so if you are suffering a more generic case of depression let me know, it changes my answer.
For dealing with grief, a sorrow caused by the death of a loved one, say, you'll need to let yourself go through the stages. You'll want to acknowledge and accept the feelings. Which you may already be doing by posting about it.
You'll want to try to fill the feelings of emptiness that can accompany it, depending on how close the connection was. Getting into a good relationship, doing volunteer work, picking up a new hobby, going travelling... something that you can use to fill the feeling of a void.
You'll want to try to grow from it, to take a lesson from the loss, and use that lesson, that growth, as a way to remember the person and feel like you are taking a piece of them with you as you move forward, a positive step, something that they would be proud of you for.
Similarly, you'll want to try to replace negative feelings with positive ones. It can be hard at first, but you'll want to start looking at the other positive things in your life, remember the positive things this person contributed, thing about the positive elements you can bring with you into the future.
You will want to let yourself move forward, to detach yourself from the pain of loss, and be able to look it as a collection of good memories, but not a shackle to the past.
You'll also want to start learning to regulate your emotions in a more general sense. This doesn't only apply in periods of loss, this should be an ongoing thing, but it really becomes apparent when under a lot stress and sorrow. It involves understanding the natural ebb and flow of emotions, the flow of positive experiences, and negative experiences, and not let the negative ones weight too heavily on you because you understand they are an inherent part of the system.
Things like writing in a journal, or talking to people, can help you get your emotions out and start thinking about things in a more linear fashion. It can get jumbled up trying to keep in all in your head. Let yourself feel your emotions, let yourself cry. Confide in people that you feel you can trust. And if it gets too much, seek professional help.2