Read up on Omega 3 as in flax and hempseed

Omega-3 is an essential fatty acid. There is a person on the PBS fundraiser program that says Americans get .2 grams of Omega-3 a day where they should have 2 grams a day. In other words, you should make sure you get enough Omega-3 and reduce Omega-6 accordingly even if it does not help your depression.

St. Johns Wort is a dietary supplement you could read on.

Dr. Andrew Weil says 6 weeks of exercise can cure depressions, so maybe you might want to read up on exercise for depression.