Use addToBackStack method when replacing one fragment by another:
getFragmentManager().beginTransaction().replace(R.id.content_frame, fragment).addToBackStack("my_fragment").commit();
Then in your activity, use the following code to go back from a fragment to another (the previous one).
@Override
public void onBackPressed() {
if (getFragmentManager().getBackStackEntryCount() > 0) {
getFragmentManager().popBackStack();
} else {
super.onBackPressed();
}
}