I highly recommend exercise, good diet, etc.
But if you have severe depression and it's been fucking with you most your life... you may want to consider a controversial route. There are SSRIs and personally I found Lexapro to be really good. I was on it 1 year, it substantially lowered my anxiety and depression and made me feel "normal" again.
The problem was after a year on it I realized I wasn't pushing myself at the gym, wasn't pushing myself at work, I was overly aggressive towards women in a sexual way... it was a bit too effective at battling anxiety.
Then I tapered off over 4 weeks, came off and there were practically no withdrawals. That's the only reason I recommend Lexapro is because Paxil and other SSRI's have horrible wds. Lexapro does not. So it *may be worth a shot.
Now the controversial part. If you have real, debilitating type life long depression.... opiates are the most effective antidepressant I know of. The problem is obviously you don't wanna go taking heroin, morphine, oxys or even methadone. However, suboxone is a miracle drug. It's been studied for depression and showed a 90% success rate in alleviating depression. I've been on a low does for 5-6 years now and rarely if ever get depressed. It also motivates the hell out of me.
The downside is suboxone is a lifelong decision. It's harder to get off than heroin so I wouldn't consider it unless you are seriously fucked up.
I didn't get on it for depression I got on it just to stop using full agonist opiates. But I know many people who take it for depression and it works like a charm. The key is to take it at a low dose as it has a ceiling effect that reverses conversion of the key metabolite that works for depression. And doctors will not prescribe if for depression. But it's still very easy to get a prescription for. You just order 10lbs of poppy seeds online. Drink a glass of tea, go see a doctor, say you're in opiate withdrawals they'll test you and you'll test positive then prescribe you the suboxone.
But like I said, do this ONLY as a last resort. If you've thoroughly tried everything else and everything failed... suboxone is the the ultimate anti-depressant. It works immediately, you'll be happy and motivated as fuck. Even as you grow a tolerance and years pass by it will still keep you happy and motivated. The key is to stay on a low dose. And if you DO actually consider this keep in mind if you ever come off suboxone you'll face a depression like you've never experienced in your life.
That's why I recommend exercise first. Exercise is the only thing that surges beta-endorphins ( endo = inside/natural, orphins = opiates) and beta-endorphins are very strong at battling depression. I do exercise, good diet & suboxone. So my brain is mostly depression proof except when close friends or family die. Other than that I never get depressed.
Gluck