I would be very careful if you start on a vegetarian diet unless you make doubly sure that you get extra vitamin B12 injections from your doctor. Vitamin B12 - usually lacking in vegetarian diets - and folic acid are essential in the production of SAM-E, which is an antidepressant chemical your body produces.
The major cause of depression is insulin resistance as in hypoglycemia or diabetes. Insulin resistance prevents the absorption and the metabolism of carbohydrates into biological energy called ATP, which is essential to energize the conversion of tryptophan into serotonin.
The best way to treat depression is to adopt the hypoglycemic diet as a first step in treatment.