Depends. Why are you getting depressed?
Think you've reached your limit?
Can't pass that one map you've retried a gazillion times?
You've been spectating pros, and saying to yourself "I'll never be that good"
I've been depressed at some point for each of those reasons, at some point in time. Here's what I do to cheer myself up.
1. If I think I've reached my limit, I just relax, and talk to some of my friends on Osu, and ask them how long it takes them to improve over time, and other random shit I can't remember. Just talking to them just makes me feel better I guess, and makes me strive to keep competeting, because one day I would like to surpass them in skill. but most of my friends are either better than me by miles, or just don't play regularly.
2. Can't really say much about this. I never retry a map more than 5 times a day, unless I know I can fc it easily, but can't atm because making dumb mistakes or prolly drunk. Though, if I can't pass a map, I add it to my "Grindin" collection, and play it like 3 times everyday to get better at it.
3. When I spec pros, It just gives me more motivation to get better, rather than making me depressed. Cuz I know these guys really went ham, and practiced like crazy to reach where they are atnm. That's where respect and discipline comes into play for me. Makes me relax my mind and dworry about failing or the hard times. Just makes me keep fighting.
If you get depressed for other reasons, try playing another game, or doing something else. Osu is just a game. There's should be no reason for you to get depressed because Osu is fun, and you should be having a good time with it.
Sorry Aqo, that's all I can say for now...