Fish oil is a good idea. I would look for krill oil. Fish oil can have a lot of heavy metals and other ick things in it that make it actually worse for you.. Krill oil, because it's the bottom of the food chain, is a lot better. It also has more EPA, which is better for depression than DHA. if I remember clearly. It also has 48 times the amount of antioxidants than fish oil... also ". In addition to EPA and DHA, krill oil contains a complex phospholipid profile including phosphatidylcholine, a potent source of reductive-stress-reducing choline, which also acts as a natural emulsifier."
I tried Rhodiola Rosea and looking back on it, if you get it from the right source (the body soul mind brand or something along those lines) it does work, although very gradually, so gradual you may not notice. But I think it did work, looking back.
The best thing you can do for depression/anxiety, so far I've found is cutting out things, not adding things, to your diet. The main culprits being gluten and lactose... which both contain morphine like substances that make your system go haywire. Gluten and lactose are both extremely acidic and are also the most damaging to the 90% of serotonin in your body, which exists in your digestive tract!! These two foods put that 90% of serotonin out of WHACK, and do harm to your entire body (ADD, autism, bipolar, schizophrenia, arthritis, and all auto-immune diseases, may if not most are caused by these two foods) I strongly suggest you try removing them from your diet