I always talk about the difference between long-term and short-term, generally when talking about some sort of gain.
Truth is, this difference plays a huge factor in your stress management success.
Stress management itself needs to be treated with a long-term approach. For example, is alcohol a short-term stress management technique, or long-term? You guessed right! SHORT-TERM. And, as you can see, it often makes depression worse the next day. There's a reason for that. Short-term gains have a reason for that.
You must focus on the long-run.
Things that apply as long-term stress management, include bettering yourself (hence, why it's part of personal development)
go for a run to the park
read a book
start learning of a new way to make money
meditate on your "Higher Power"
Just ask yourself when you're doing something for stress or depression, "is this short-term, or long-term?"