Copied below from an article. I do eat a lot of fish and I think it helps.

There's certainly evidence that vigorous exercise has an effect on mood. Trivedi and others have shown that burning off 350 calories three times a week in sustained, sweat-inducing activity can reduce symptoms of depression about as effectively as antidepressants. Brain-imaging studies indicate that exercise stimulates the growth of neurons in certain brain regions damaged during depression. And animal studies have found that physical exertion increases the production of brain molecules that improve connections between nerve cells and act as a natural antidepressant. Sunlight or light-box exposure often helps people prone to seasonal affective disorder. And there's no doubt that getting a decent night's sleep can lift the spirits. Nutrition may play a role, too: It's fairly well established that those who eat the most fish have the lowest rates of depression.

Realizing that primitive societies like the Kaluli of Papua New Guinea experience virtually no depression, Stephen Ilardi, an associate professor of psychology at the University of Kansas, has been testing a cave-man-esque approach to treatment with promising results. His 14-week Therapeutic Lifestyle Change program entails large doses of simulated hunter-gatherer living in people suffering from prolonged, unremitting depression. Participants sign up for 35 minutes of aerobic exercise (running, walking briskly, biking) three days a week, at least 30 minutes of daily sunlight or exposure from a light box that emits 10,000 lux, eight hours of sleep per night, and a daily fish oil supplement containing 1,000 mg of the fatty acid EPA and 500 mg of the fatty acid DHA.