To start, I was very lucky to find a good therapist during the end of my marriage. While it didn't pull me out of the depression entirely, it gave me the tools necessary to continue to work on my well-being after I couldn't see her anymore. If you are able to seek therapy, I suggest doing so and trying to find one you are comfortable with.
Along with therapy the following things have helped:
1) I shifted my goal from trying to remove negative thoughts to being able to better process them. Meditation helps in this regard.
2) Eating healthy and exercising makes me feel better in general and helps me process negativity, and it gives me the energy to stay focused on things that make me feel better.
3) I've made an attempt to foster kindness and empathy. This has paid off. I find myself less angry in general. Selflessness is an undervalued virtue in our individualistic societies. Volunteer work is a good place to start. I was able to find an organization that was dear to my heart, it was focused on homeless veterans (I am a veteran) and it revolved around exercise.
4) Cut social media out of my life.
5) Got rid of my news junkie habits. Rather than bombarding myself all day with the headlines, I set aside an hour or so each morning and only read quality sources, The NY Times, The Wall Street Journal, The Economist.
Reminds me of a zen story:
A Zen master, Ryokan, lived a life of simplicity in his hut near the mountains. When he was away one night, a thief broke in only to find nothing worth stealing.
Just then, Ryokan returned. “You have travelled far to visit me,” he told the burglar. “I cannot let you return empty handed. Here are my clothes, please accept them as my gift.”
The baffled thief took the clothes and vanished.
Naked now, the master gazed at the moon. “Poor man,” he sighed, “How I wish I could give him the moon.”