I speak for myself when I say that after 4 years in dark depression I really am not seeking to be happy but rather only to find a place that is out of the dark despair. I went through half a dozen meds before finding one that worked. I think a therapist or counselor is a complete right first step. And yes I did try Gaba, St. John's Wort, Sam-E, and vitamin B, none of which made a dent in my depression.
The first thing I was ever referred to was therapy. I was only referred to medication when therapy didn't work, but that remains the most likely way to get better without medication, which never cures the problem but might suppress the discomfort. Many people have solved their problems through a myriad of ways -- spiritual ways, natural medicine, time, change of circumstances, finding a physiological cause of the problem -- lots of stuff out there that help some and don't help others.