If I am not unaware of some brand new research, the cause of depression is still either unknown or multi-factorial, depending on how cynical you want to be. The Wikipedia section on this reflects this:
"The biopsychosocial model proposes that biological, psychological, and social factors all play a role in causing depression.[5][28] The diathesis–stress model specifies that depression results when a preexisting vulnerability, or diathesis, is activated by stressful life events. [...]" [0]
Similarly, Cognitive Behavioral therapy which, well, focuses on behavioral interventions and has had astonishing successes with medium as well as major depression, often on par or exceeding drug therapy - and absolutely shining in combination with drug therapy.
As I said, I might be out of date on my information, but IMO depression is a bit too important too take weirdly partisan stances like "external treatment is claptrap" just because...
[0] https://en.wikipedia.org/wiki/Major_depressive_disorder#Caus...