I suffered from chronic depression for over twenty years. About three years ago I felt I was completely at the end of the road - as if something was irrevocably broken in my brain and I would never get better. By sheer good luck I came across a truly life-changing book: "The Mood Cure" by Julia Ross. It's all about using a nutritional approach (food and supplements) to treat mood disorders. It worked for me. It's packed full of information, and different people will need to do different things, but what had the most dramatic effect on me was cutting out gluten from my diet, and increasing my intake of protein. My end-of-the-line depression literally lifted within two days of making these changes. I also later found out (again sparked off by this book) that I have an underactive thyroid . Taking thyroid replacement has also been a big help (and side effect-free). As long as I eat properly I don't have any problems with depression, and absolutely no need for anti-depressant medication.
There's also another good book on similar lines: "Optimum Nutrition for the Mind" by Patrick Holford. This has information about using nutrition for conditions like schizophrenia as well (and a lot else besides).
I'd say definitely have a look at these ideas and give them a go. There's nothing to lose and maybe a great deal to gain.
I think talking therapies are also important, but if there's a physical thing wrong, that needs to be addressed. I don't think all the therapy in the world could have put me right if I hadn't re-balanced my brain through the above means. So I'm not against physical treatment for mental illness - just get the right physical treatment! The right treatment is free from all side effects because it replaces exactly what is missing.