I don't know of any natural supplements for depression, but I do know my mood is markedly improved when I'm eating better and staying hydrated througout the day (lots of water!). I personally feel my best on whole, non-processed foods-- real meat, seafood, grassfed butter and oils, fresh veggies and fruits, nuts and nut butters, etc.

Also wondering if yoga is an option? That was also a mood lifter for me.