Overcoming depression

The research on the efficacy of different depression treatments is only moderately strong. Our remarks below reflect our attempt to come to the best conclusion possible with the evidence available: we're not confident in our assessments, but they represent a reasonable best guess using the evidence available.

Our top general recommendation for overcoming depression is cognitive behavioral therapy (CBT), though in individual cases other treatments will be superior.
If you have the resources (in terms of time and money) combining treatment methods may be more impactful than using just one.
If your depression is sufficiently debilitating so that recovering from it is higher priority for you than other things, it's worth experimenting with different treatment methods to see which works best for you, with the possibility of antidepressants.

Cognitive behavioral therapy

According to The empirical status of cognitive-behavioral therapy: A review of meta-analyses, there's a strong base of evidence that CBT has a large effect of reducing depression on average. There's evidence that the benefits extend beyond the duration of the treatment. Studies generally seem to show that CBT is as effective as antidepressants at reducing depression (some find that CBT is more effective, but the evidence is unclear).

CBT has the advantage that one can learn to do the exercises on one's own, without the expense of a therapist or a psychiatrist. It's also superior to anti-depressant medications in that it doesn't have negative side effects. In particular, it probably doesn't increase risk of suicide in young people as antidepressants do.

Our recommendation for learning CBT on your own is Feeling Good: The New Mood Therapy by David Burns.

Exercise

It's widely believed that exercise alleviates depression. There's an intuitive basis for thinking this: exercise often gives one a runner's high.

In the Cochrane review Exercise for depression, the authors find that on average studies show a moderate-sized effect, but that when one restricts consideration to the highest quality studies, one sees a significantly smaller effect.

The main downside to exercise is that it takes time, but if alleviating depression is sufficiently high priority for you, it's worth prioritizing exercise over other things.

Talk therapy

Talk therapy has been shown to reduce depression on average. However:

It's expensive, costing on the order of $120/week if one's insurance doesn't cover it.
Anecdotally, highly intelligent people find therapy less useful than the average person does, perhaps because there's a gap in intelligence between them and most therapists that makes it difficult for the therapist to understand them.

Antidepressants

The Cochrane review newer generation antidepressants for depressive disorders in children and adolescents found that anti-depressants increased recover rates from 38.0% to 44.8% (over a specified duration) relative to a placebo. This understates the capacity for anti-depressants to reduce depression, because placebo treatment is also better than no treatment, and if one anti-depressant doesn't work, one can try another one.

If you're an adolescent, the case for using an antidepressant is weakened by the fact that antidepressants are thought to increase the risk of suicide in adolescents. For example, the above Cochrane review found that antidepressants increased suicide rates by 58%. The Food and Drug Administration requires that manufacturers of antidepressants include a warning that antidepressants can increase the risk of suicide in children, adolescents and adults under age 25. See antidepressants and suicide risk for more information. The size of the increased risk in absolute terms varies from person to person, because some people are more likely to commit suicide than others. But in a given case, the increased risk of suicide may not be worth the potential benefits.

If you're under 25 years old, particularly if you're an adolescent, seems reasonable to try other methods of treatment before considering antidepressants.