Reading books as BeeBee said, plus some nice hypno. music, relaxing music, releasing stress and all.
Besides, I have some friends of mine with depression, tried to meditate and pray to overcome depression without using medication (which mostly bring side-effect). They put their mind concentrate on the spiritual path, because human are made from body and spirit. Since depression deal with emotion, which is closer to spiritual part of human, so try to work hard on the mind of hypno for yourself. Chanting and praying constantly, visualize great white purify light from the universal blessing on you, visualize that you are happily ever after.
Besides that, throw yourself into some sort of the charity work to help people with depression, go places of orphanage to help out, try to find something of your interest to put your mind fully on helping people, seeing people happiness as your own.
As far as supplements, vitamin B complex will help with relaxation too.