There had been a lot of studies about "St. John Wort" as a relive for depression. It had been studied for quite some time now, and studies show an improvement in cases of mild depression. so it might worth a shot.
http://www.hypericum.com/
The other widely researched natural substence is Omega 3, which also shown some result in dealing with both bi-polar and depression.
http://www.mcmanweb.com/article-15.htm
Also, depression might be effected by the lack of B vitamin and metabolical problems.
On of the main thing that you can do for depression is to do some sports on a regular bases, it effect the body and your mind in a really good way, mostly it's suggested to practice aerobic sports, like running or spinning, but i found that Yoga works best for me.
Personally, I know a few people who tried both Omega 3 and St. john wort, and weren't sutisfied with the result, it either helped very little and not at all. The best treatment I found to depression is SSRI medication, combined with therapy.