Currently pretty depressed, and I think if anything playing video games, watching TV, surfing the web, or consuming media is a bandaid fix and it's only good for distracting you during the time you're doing it. Doing other stuff that has results (i.e. building something, working out, etc.) is probably the way to go. It tires you out, your mind is preoccupied, you feel productive, and then you have a reminder of the work you put in or how you spent your time.
Also maybe figuring out why you're bored/depressed would probably be a good idea too. Maybe there's something going on in your life that needs to be addressed, but you're sidelining it and trying to distract yourself from that issue?