Ask at your health food store for one that doesn't cause the reflux effect. There are some with better coatings that are easier in that regard. Flaxseed Oil is a good alternative but has less Omega 3 in it than fish oil.

What it does, is lubricate the synapses in your brain, which helps you think, reduces or eliminates brain fog. So that could be a help with depression, and it works well for ADD.
Have you also tried St. John's Wort, which works well for depression on the short term. Take it for awhile, when it feels less effective, stop for a few weeks then start it up again. I found this to be very helpful...
Good luck to you!