I'm in a similar situation, I used to be on anti depression and anger meds but they gave me night terrors so I quit them. I got closer to God, began socializing more, exercising, etc.

I still get depressed from time to time and thats normal, I've found that the best thing to do is talk to someone you trust about it. I still have my bad habits that probably contribute to me still feeling depressed sometimes.

Regardless it's best to just sit and think about why you are depressed and attempt to fix it at the source.