I was majorly depressed for about 15 years. I tried therapy, medication, etc. with little to no effect.
It took 15 years to figure out this stupid simple truth. Exercise. Just exercise.
When I was in the middle of it I heard people suggest exercise and I thought, "Yeah, like that'll help." But it's been one of the most beneficial things I've come across.
The problem with depression is that it usually can't be reasoned away. Remember that line in the Matrix? "The image translators work FOR the construct program." Totally unrelated, but a good metaphor. Depression is a sickness of the mind. It has a subtle effect on your perceptions and your ability to make rational conclusions. Unless you have an epiphany or a breakthrough of some sort, the mind you're using to eliminate the depression is working FOR the depression. It can't be trusted.
Because it's so pervasive and insideous it can take a long time to really see all this stuff going on inside you. In fact, I bet you find that when you're doing ok you have trouble remembering what it's like to be depressed, and when you're depressed you have trouble remembering what it's like to be ok. It can literally be seen as a shift in your whole being... somehow you can't even access that part of yourself even just to remember it. Or maybe that's just me.
So why does exercise help? Because you have to attack the imbalance in ways it can't manipulate. Appeals to reason can be filtered and twisted around. Endorphins can't. We grow up thinking that a sedantary life is normal because that's all we see around us. We also see a bunch of fat, miserable people around us. The body is supposed to move every day... not doing it is unnatural and has dire consequences.
When you're depressed it seems like mere chemistry couldn't possibly have anything to do with what's wrong. You hate yourself. The world disgusts you. Your life is meaningless. These are all pretty intellectual and existential problems... it seems crazy that an imbalance of neurotransmitters could create all that. But the imbalance can screw with your perceptions quite effectively. The belief that the external world is the problem is all part of the lie.
Medication... well... it seems to work for some people, but it's a terribly flawed approach. The body can produce any chemicals you require in perfect dosages and can deliver them precisely where they're needed. Medicine just floods your entire system like a carpet bomb. Side effects are so common because another part of your body may be using the same chemicals being delivered in an entirely different way... so you fix one system and knock another system all out of whack. It just seems like a sloppy way to do things.
So how do you get the body to start producing chemicals properly again? By getting healthy... fresh air, better food, exercise.
Of course there are more serious diseases where medication is necessary, but depression often isn't one of them. For losing weight they say to just get yourself healthy, and the weight will take care of itself. It's the same with depression. When you manage to reach optimal states, just try to leave some breadcrumbs so you can remember how you got there, and eventually you get better at it.
There's another huge benefit with exercise that I haven't mentioned. There seems to be a direct correlation between unhappiness and self-centeredness. I don't mean selfishness or vanity... I mean when you're always focusing on the self. Exercise, or any type of physical labor, pulls you out of that state. For a little while you aren't you anymore. You're a goal. You're fluid motion. You're too tired to think... you just become aching muscles and sweat. It's hard to explain... easier to just experience it. Just remember that sometimes, especially when depressed, the self can become a cage that you need to release yourself from.
This ended up being a lot longer than I thought it'd be. I hope there's something of value in it.
Every case is different so I can't really say what will work best for you, but it's a good bet this will have an effect.