I tried a B complex (high in B3, B5, B6) also, it did actually help my depression and anxiety. Not taking it any more though. Taking enough supplements.
I've heard a lot of good about Gaba for anxiety.
I sometimes take L-tyrosine, but not so much for anxiety but rather for concentration and energy. It's something I re-buy because I actually notice a difference after I take it.
10,000 vit D every 2nd day, even though I don't realize a difference w/ or w/o it
B12, I had a defiency and now that I take sublingual B12 supplements, I don't get cold hands and feet and I am a lot more stable and energized (felt the different immediately after taking the first one) before taking I was anemic.
Omega 3, I haven't noticed a huge difference with this one but it has helped my skin, so heck, whatever, throw that in there.
Lastly eating low carb. My anxiety seems to completely vanish just 2 days into low carb. Unfortunately there is a low carb "flu" that occurs for a week-two ish when you start it, and it's always been too hard for me to get through, even with knowing that afterwards my anxiety / fatigue will probably be totally gone as long as I stick to it. So I have just instead opted for eating nothing sweet and cutting out grains, (the high GI carbs) which also helps a lot.
I agree with firewalk about exercise. It seems to be one of the best in terms of ratio of easiest:effective.