I've experienced depression while running a startup, and seeing a therapist was immensely helpful. A therapist who regularly sees founders as clients would have a stronger-than-usual feedback loop on what sorts of advice and recommendations can help.
Edit: While I think the advice of talking to other founders about depression is really excellent for those who have that option, I think back to when I've experienced depression and wonder whether it would have helped. Specifically I'm not sure I was even in a state to be able to act upon that advice. Generally my sense of self-worth was so deflated that it was very difficult to discuss it with anyone, and particularly anyone who I wasn't close friends with. Beyond my co-founders, few of my close friends were entrepreneurs.