Depression is a disorder like any other. It should be treated properly by methods that have been scientifically proven. Two types are proven beyond doubt: antidepressant medicines and cognitive behavior therapy. Exercise has some evidence in cases of relatively mild depression. The evidence for yoga/ meditation in syndromal depression is questionable. Please understand that depression is not same as sadness occuring once in a while. Go through this link for more details:
Rather than medications go for life style modifications in the form of exercise, meditation, deep breathing, recreating hobbies
Listening to music, reading
Ventilation of emotions by writing
Proper sleep, no drugs
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