Have a consistent routine
Mental health and routines are strongly connected. Even though you don't have a job right now, you can still benefit from having one.
This works because you'll know that you need to be doing something specific at a particular time. It's better than having too much idle time or a disorganized life, which can also trigger depression.
Sharpen your skills meanwhile
It's true that the process of learning never ends. It is not possible to know everything under the sun regardless of how confident you are.
Therefore, this is your opportunity to improve on those areas in your field that you've always wanted to work on. Or, you can have sessions where you revise the things you've already learnt, including facts about the companies you've been applying for.
You also have time to work on your interview skills. Research on some more tips that will help you be fully confident when you finally get that call.
Take breaks, but don't quit
It's not easy to apply over and over again and not get any response. Your motivation slowly dies and eventually, you can end up quitting on life altogether.
If you reach a point where you feel done, take some time off for yourself then come back after replenishing your energy. This strategy is better than quitting because you could miss out on opportunities that were waiting for you, if only you remained persistent.