I'll give you a that's helped me tremendously, and I no longer have depression, just the regular sadness or boredom that we all experience once in a while.
Intermittent Fasting:
This may sound very extreme, but it's just because it's so outside the norm of what the vast majority of people do, however it's helped me to feel a lot better.
The idea is that you have a 'compressed eating window', which means that you for example go without food for 16 hours, then you eat for 8 hours. You don't necessarily eat less, you can eat the same amount of food, just inside your eating window. There are not any direct evidence that it helps for depression, but there is some reasonable speculation and some reasons to believe that it can help, and I know it has for me.
Quoting the article:
Depression has long been associated with lower BDNF levels as a prognostic of the disease, but it’s only recently that researchers are entertaining the possibility that low BDNF and depression could be causally related. And indeed – antidepressants actually increase BDNF signaling and synthesis in the hippocampus (the part of the brain where depression “happens”). Could fasting help with depression via upregulation of BDNF and promotion of neurogenesis? Perhaps. I’d say it’s worth a shot, especially since skipping a few meals doesn’t require a prescription.
Read more: http://www.marksdailyapple.com/fasting-brain-function/#ixzz3QIhIAX7m
Read about the science behind it here
It doesn't hurt to try it out if you want, as it's not harmful to go without food for 16-18 hours, quite the opposite. I do 18/6 myself.
Meditation
This is a big one. Practice becoming more aware of the present moment. It has a lot of science to it, and it can (or almost certainly will) help for depression and anxiety. /r/meditation is a good place to start
These two things has made the biggest difference for me. I'd list other things like exercise and diet(which you also should have in check, btw), but those are so commonly advised that I wanted to give you some less commonly advised tips. Also maybe take some supplements and do your own research. /r/nootropics might be able to help you on what supplements can potentially help in your case. Just check with your doctor first if you're not sure if any supplements is completely safe, or can interfere with your medication, ok? ;)
Hope some of this can help. Start with a couple of changes. You have to do something to get out of the downward spiral, it will not happen on it's own. Luckily the climb out can get easier and easier the more positive changes you make to your life.