How do I fix Dagger 2 error '... cannot be provided [...]'?

This is a Canonical Question because this is a common error with Dagger 2.

If your question was flagged as a duplicate please read this post carefully and make sure to understand what this error means and why it occured. If this post does not work for you make sure to include where and how you provide the mentioned classes and include the full error message in your question like the one here.

I tried to use a dependency with Dagger 2, but I receive the following error when I try to compile my project:

error: com.example.MyDependency cannot be provided without an @Inject constructor or from an @Provides-annotated method.

com.example.MyDependency is provided at
com.example.MyComponent.myDependency()

What does this mean and how can I fix it?

I have a component and tried to provide a dependency. My basic setup looks like this:

// this is the dependency I try to use
class MyDependency {}

@Component
interface MyComponent {
    // I want to make it accessible to be used with my component
    MyDependency myDependency();
}