Please note that it is definitely not a good idea to try to treat your depression simply by taking nutritional supplements. There are countless sites online that will tell you that doctors are bad and their supplements are the only way to "cure" your depression. Bear in mind that there is always a chance that you have an undiagnosed medical condition that is causing or contributing to your depression, and get a thorough check-up from your doctor if you haven't already.
Sourced from:

10 Things Not to Say to Someone With Depression
6 Behavior Changes During Depression
Getting to Know Your 5 Essential Brain Chemicals
12 Ways to a Happier You