One of my best friends was able to drop his dependency on anti-depressants (which are a bitch) with 1 well prepared and well managed LSD experience (he had made 100% sure that the substance was indeed LSD and that the quality was the purest possible, spend tons of time researching every aspect). His experience was apparently so profound that he was able to stop all meds and since then never touched them again (remaining free from depression). Obviously, 1 dose of LSD costs virtually nothing, compared to anti-depressant prices (long-term usage), which may be one of the reasons it is not being pushed by the pharmaceutical lobbying powers that be. There's also a (real/licensed) doctor in Switzerland who has researched this substance/field very successfully.

Meditation is also very often mentioned for (not deeply/clinically) depressed people, as well as the Wim Hof Method.

EDIT: The case of the above mentioned person needs the following PSA: LSD is not for everyone: if you have anybody in your family who suffers from schizophrenia or psychosis, you may have this potential as well, which means LSD could trigger a crisis (but not cause the medical condition itself).