Beware of advice from folks who do not suffer from depression themselves. They just don't get it. Managing depression, as I have for 30+ years, age 56, takes a multi-prong approach. It isn't easy. There isn't a just "suck it up" and execute solution. Allow me to share.
First, can you be a depressed entrepreneur? Yes, many folks do it.
[Wow, a large part of my answer about sleep and exercise was deleted by the posting system. I don't have time to reproduce it right now.]
TL;DR: sleep & exercise are even more important to beat depression.
Everyone's depression is different.Your physician is your guide and co-experimentalist. There is no magic pill. There are a collection of pills that can each be partially effective. You will not know until you start trying them out. Don't stop when you get some success. That has just started to show you which parts of your brain need support. Then work to refine that good result.
Recreational drugs. If you can dispense with alcohol, then do so. It is a central nervous system depressant. It retards your progress. I have a wine problem and cannot follow this advice. We do decant our wine into two containers and reserve one for the following evening. This has helped a great deal. I cannot speak to the effects of other recreational drugs.
Finally, Therapy: There is a feedback loop caused by negative thoughts. You are in control of this loop. You must break it when it starts. I find that, hokey as it sounds, that explicitly thinking positive, optimistic thoughts helps. When the negativethoughts flow, turn them around and ask yourself what is the most optimistic way you could view the same issue? This helps me break the cycle. Yes, the optimistic view is as much a lie as your negative thoughts. You're not trying to believe them either; but, rather, laugh at both of them. (BTW, optimists are delusional too. Depressed people see the world the way it is, they just cannot do anything about it. If you can shake the depression, you'll be more grounded than other entrepreneurs and more successful.)
Therapists call the above Cognitive Behavior Therapy. It is part of the solution. Don't dismiss it as too soft and squishy. Your brain is a soft and squishy place. It needs reprogramming.
Sleep > exercise > nutrition > drugs >recreational drugs > therapy.
Do them all. If you must trim, then do so from the right.