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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.