One thing for certain can be gleaned from reading all the responses in this thread: We have no idea neither what the cause of depression is, nor what the solution is.

Everyone here has posted something different. Exercise, diet, sleep, medication x, medication y, prayer, water, gluten, meditation, losing weight, socializing... the list goes on, and on.

If this weren't heavily susceptible to placebo, you'd expect that list to be much shorter. My guess is that just doing SOMETHING makes people feel better.