I am not diagnosed with depression and I am by no means a doctor, so take what I say with a grain of salt and seek medical advice. However, I know of supplements that have been said to help according to some studies and that I know worked for other people I know.
1. Omega 3
2. Vitamin D
3. Magnesium
I take a multivitamin and fish oil but recently I have added a cereal extract that has massive doses of B vitamin in it, and it's really doing the trick. I mean, my spirits are up, my brain feels sharp and my anxiety levels are minimal... I'm pretty sure it's because of that.
I've also started running 4k 2 or 3 times a week after a long period of indolence.