I always feel depressed. What should I do?
Depression could be due to physiological causes (high blood sugar, for example), or life situation, or mental/psychological problems. There are also conditions like bipolar which cause recurring episodes of depression without end, and the person has to do their best to cope.
If possible, you should get medical hope, maybe the cause of your depression is curable or manageable.
As for the Islamic/spiritual side, please see my article God and depression.