Premature ejaculation could be due to many reasons. Anxiety being the most. So first try relaxation techniques and distraction method. Then try to cut down on any habits like alcohol, smoking or drugs. This will help delay ejaculation. If there's no improvement then you must be investigated for any comorbidities like diabetes hypertension hypercholestrolemia. Treating these comorbidities also can delay ejaculation. Also if your taking any drugs for your depression, then it can also cause premature ejaculation. And any associated erectile dysfunction should also be treated.
Medically there are many options like oral medications and topical creams. If the above conservative measure do not help kindly consult a psychiatrist for medical therapy.