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Perhaps try listening to some new bands? The Amity Affliction are a good band and all, however, I would hardly recommend them to someone who is depressed. They would work for hitting the gym/blowing off steam.

Try listening to something that sounds more laid back. Music has been known to have different effects on moods depending on its sound.

Your avatar says "House of El" so I am assuming that you are into comics. Perhaps their is a comicbook TV series that you have yet to watch? I find watching an excellent series as a good way to wind down. Comicbook TV shows are one of my favourites to binge watch haha.
Obviously there are plenty of other quality TV shows, however, I don't know your tastes so I would feel like it would be overly presumptuous to throw a list of shows at you.

Exercise is definitely recommended. You stated that you don't like going to the gym. I get that. I dislike the gym too, I find the atmosphere a little daunting. Having a walk through a reserve/park is always nice. Do it when it isn't too busy, that way you can listen to nature. Listening to different things, like the wind rustling the leaves, the sound of birds etc. Being in-tune with something else other than your own thoughts, I personally find this helpful.

That's my two cents. I hope that you find something that works for you.