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Two articles which together point out that there are alternative approaches to the treatment of depression. From Medscape:

Patient Expectations Largely Dictate Antidepressant Response

People's expectations about how effective their antidepressant medication is going to be almost entirely predicts their response to it, such that giving patients a placebo pill as active therapy during an 8-week period results in very similar reductions in symptoms, new research shows.

Investigators at the David Geffen School of Medicine at the University of California, Los Angeles, found that patients assigned to either active antidepressant therapy or placebo pills had better clinical outcomes than supportive care alone and that there was little difference between outcomes for the medication and placebo groups.

"Supportive interaction with the subject helped them get better, and antidepressant therapy helped them get better, but I think our key finding was that patients' belief in the effectiveness of medication was a unique factor that contributed to them getting well. So belief in the power or effectiveness of the medication may be a contributor to placebo responses in the treatment of depression."

From Science Daily:

Sport, physical activity help against depression

Depression is the most frequently diagnosed mental illness. In the western industrial nations, at least every tenth person suffers from depression once in the course of their life. Depression influences physical health more than diabetes or arthritis, clinicians say. Treatment of depression traditionally occurs with antidepressants and psychotherapy. But as research has shown, sport and physical activity partially encounters the same neurophysiological changes as antidepressants. That is why a large number of meta-analyses showed a positive effect of sport and physical activity on depression.

Sport and physical activity bring about various changes in the brain which are otherwise achieved only through drugs. Similar to sport and physical activity, drugs for treatment of depressions act on the brain's capacity to absorb serotonin. They strengthen the epinephrine activity and ensure the release of various factors for nerve growth. These factors promote cell growth in the brain and prevent the death of cells in the hippocampus which is otherwise caused by depression. Together with these changes, sport and physical activity also lead to a reduced activity of the stress hormone cortisol and therefore have an effect similar to psychotropic drugs.

Article about the growing body of research supporting exercise in the treatment of depression. From The Atlantic:

For Depression, Prescribing Exercise Before Medication

Depression is the most common mental illness—affecting a staggering 25 percent of Americans—but a growing body of research suggests that one of its best cures is cheap and ubiquitous. In 1999, a randomized controlled trial showed that depressed adults who took part in aerobic exercise improved as much as those treated with Zoloft. A 2006 meta-analysis of 11 studies bolstered those findings and recommended that physicians counsel their depressed patients to try it. A 2011 study took this conclusion even further: It looked at 127 depressed people who hadn’t experienced relief from SSRIs, a common type of antidepressant, and found that exercise led 30 percent of them into remission—a result that was as good as, or better than, drugs alone.

Though we don’t know exactly how any antidepressant works, we think exercise combats depression by enhancing endorphins: natural chemicals that act like morphine and other painkillers. There’s also a theory that aerobic activity boosts norepinephrine, a neurotransmitter that plays a role in mood. And like antidepressants, exercise helps the brain grow new neurons.

But this powerful, non-drug treatment hasn’t yet become a mainstream remedy. In a 2009 study, only 40 percent of patients reported being counseled to try exercise at their last physician visit.

Instead, Americans are awash in pills. The use of antidepressants has increased 400 percent between 1988 and 2008. They’re now one of the three most-prescribed categories of drugs, coming in right after painkillers and cholesterol medications.

After 15 years of research on the depression-relieving effects of exercise, why are there still so many people on pills? The answer speaks volumes about our mental-health infrastructure and physician reimbursement system, as well as about how difficult it remains to decipher the nature of depression and what patients want from their doctors.

When it comes to non-drug remedies for depression, exercise is actually just one of several promising options. Over the past few months, research has shown that other common lifestyle adjustments, like meditating or getting more sleep, might also relieve symptoms. Therapy has been shown to work just as well as SSRIs and other medications. In fact, a major JAMA study a few years ago cast doubt on the effectiveness of antidepressants in general, finding that the drugs don't function any better than placebo pills for people with mild or moderate depression.

The half-dozen psychiatrists I interviewed said they’ve started to incorporate non-drug treatments into their plans for depressed patients. But they said they’re only able to do that because they don’t accept insurance. (One of the doctors works for a college system and only sees students.)

That’s because insurers still largely reimburse psychiatrists, like all other doctors, for each appointment—whatever that appointment may entail—rather than for curing a given patient. It takes less time to write a prescription for Zoloft than it does to tease out a patient’s options for sleeping better and breaking a sweat. Fewer moments spent mapping out jogging routes or sleep schedules means being able to squeeze in more patients for medications each day.