Depression and anxiety can be as physical a problem as diabetes or migraine headaches. Sometimes medication is needed.
However, with nearly every disease or condition that you can name or think of (acne, cancer, stomach aches, constipation, diabetes, multiple sclerosis, toe nail fungus - whether the disease or condition is debilitating or just slightly annoying), there are lifestyle changes and improvements that can help. Most specialized hospitals (that treat cancer, or spinal cord injuries, or serious diseases) don't just have doctors. They have pet therapies (where patients get visited by a dog or ride a horse). They have nutritionists. They have activities, like art and exercise and outings. These are not for entertainment, but are a part of the overall wellbeing and healing plan.
So, what is your life like? Do you have a supportive and loving family or partner? What's your job or school or your normal day like?
How about your eating habits? Are you downing energy drinks (with artificial junk and food coloring and tons of caffeine and questionable ingredients)? Are you swinging through McDonalds every evening, and is your breakfast a purple pop-tart and a diet soda? Do you drink too much caffeine or alcohol? Is supper thrown together from cans and boxes? It doesn't have to look like the cover of Food and Wine magazine, but even a simple salad with olive oil and vinegar, with a little chicken on it, is better than a boxed mix of junk.
Do you exercise or go for walks, or do you just sit in the dark with your phone or tablet? Do you turn off the electronics well before bedtime and get enough sleep?
Do you have a belief system that sustains you (like a belief in God, or a church or synagogue or mosque or other house of worship, or prayer, or meditation or whatever) and are you connected to others with whom you can fellowship or pray or commune or talk?
Start by evaluating your day. Is your morning usually filled with smiles, a breakfast of berries and Greek yogurt or sprouted grain toast or oatmeal with raw local honey, clean clothes to put on so you can go to a job you enjoy or take care of kids or whatever it is that you do? Or is it chaos and misery, after a sleepless night, and no time for protein so you'll grab a doughnut later? Of course, in the most well-ordered life there will be days where nothing goes right, but that should be the exception, not the rule. There will be vomiting children, a grumpy partner, a job loss, a broken zipper or heel as you're walking out the door, a forgotten file folder, but put into perspective, they're not the end of the world.
Keep a food journal and a sleep journal. If you're doing all the best things you can for yourself, such as eating whole foods, not devouring sweets and artificial sweeteners, drinking lots of water, sleeping well, enjoying your family and friends, then perhaps a new anti-depressant might be helpful. But if you're smoking and drinking and staying out until 3 am and fighting with everyone and hating your job and eating buckets full of fried chicken and a package of cookies every night, then an anti-depressant isn't going to really help.