rabbi akiva tatz says in his book Jewish Teenager's Guide, that depression comes when one is not growing spiritually. when the soul feels life passing by and it is not doing what it is supposed to here, depression comes.
that said, one can treat (non-medical) depression by fixing times for torah study/classes, doing acts of kindness, prayer, mitzvot etc. of things which advance a person spiritually.
the talmud (Ketuvoth 59b) also says that idleness leads to depression, so putting one's head deep into torah study,etc or work would help in this regard.