If the past, I occasionally took supplements such as Metabolife,
Xenadrine, etc. (the old versions that had ephedra) as a diet/workout aid, and aside from having a more energetic workout, they really seemed to help with my depression. Now I have days where I can barely function at all due to depression, but if I take 12mg of ephedrine, some caffeine and 1/2 an aspirin I feel normal to great.
I've only been on actual depression medications once - I took Paxil.