Even those who’re on medication can benefit from the life style modifications and dietary changes including focus on various anti-depressant foods and supplements.
These two natural supplements, scientifically validated, can help in controlling depression, including:
Zinc for Depression
Zinc is responsible for various bodily functions and is thus considered an essential micronutrient. Most of the zinc is present within skeletal muscles and bones, while only almost 0.1% of the total body zinc is available in the plasma.
One study and clinical trial  shows that lower plasma levels of zinc is associated with increased depression and vice versa. Increased zinc supplementation decreases Beck depression scores significantly.
Various anti-depressants might also exert their effect through the neurons containing zinc, so zinc may be helpful in enhancing the effect of those drugs too.
Highest rated zinc supplements can be found here.
Vitamin-D for Depression
The efficacy of vitamin-D supplementation in patients suffering with depression is controversial.
However, a study  carefully evaluating the previous studies done regarding vitamin-D supplementation in patients suffering with depression, concluded that the main finding in the studies without flaws support the fact that the vitamin D supplementation is effective for depression.
In short, better (within limits) levels of vitamin D improve depression.
Highest rated vitamin D found here.
It’s important to note that depression is a complex disease, these supplements might help in reducing the symptoms but still consult your health practitioner before making any dietary or other changes.