How do you I cope with triggers that make me feel depressed?

Start by knowing what your triggers are and how to avoid them. If you're feeling triggered, start with some deep breaths, and ground yourself. Look at 5 things you can touch, 4 things you can see, 3 things you can hear, 2 things you can smell, and 1 thing can taste. Isn't that better?

Reflection on why the trigger evokes emotions, what kind of emotions and the perceived relation between them. Suppose being in social situations causes someone to feel depressed. They may feel so because they have faced multiple failures in such situations that has made them believe that they are sure to fail this time too. Recognizing the associated thoughts and feelings will help make progress as to changing the concerned responses to the trigger. Now that they know the underlying assumption lies "I will fail at all social situations", they can analyze it and change it in a better direction, "not necessarily, I have failed and learned the reason I did. I will be able to improve, and not all situations are the same." The trigger is essentially being associated with certain events or memories. The association will weaken/break as the individual deals with the memory associated with it, perhaps by seeking support through someone who can help them recognize these thoughts.