I was depressed for years. I did all the right things, but couldn't get myself out of the funk. I eventually realized it was a brain chemistry thing, combined with some ingrained negative thought pathways.
After I was diagnosed with cancer, my doc put me on a low dose of Zoloft, and Ativan (which is an anti anxiety drug).
The Zoloft served to correct my brain chemistry, and helped me think clear enough to try and change my negative way of viewing the world. After awhile, the Zoloft stopped working. I had a choice--try to increase my dose, or stop cold turkey and do it on my own.
I did the cold turkey thing. The at-home cognitive therapy I had been practicing took, and I was able to think thru any depression that might have started. I was still taking the Ativan for anxiety, tho.
Then I discovered working out, and eating right. I had never been one to do either, so I didn't know how it would effect my body. Thankfully, the daily dose of endorphins and the healthy food help keep my body and mind functioning as they should. Oh, I still get depressed, mostly situational, but I am managing to overcome these little bouts.
So no more meds. Just clean living.
And it's definitely exercising that's keeping me sane. I miss a few days, and I feel myself falling back into the hole.
I'm not saying this would work for everyone, but it did for me.