Have you tried seeing an integrative/holistic doctor? I'm seeing one now, and she's done various tests (various blood tests, genetic screening) to determine which supplements would help me the most. There are some high-quality supplement companies that only sell to doctor's offices (Xymogen is one brand that they can get for me that can't generally be purchased elsewhere).
I also just got the results of a food intolerance test she did, which showed I was highly intolerant to soy, which I was consuming daily (soymilk and other forms). Food intolerances can cause a wide variety of symptoms (different from food allergies), including mental health ones. If you don't want to get a test done, you could also try an elimination diet (cutting out the major allergens, like wheat, eggs, dairy, soy, and corn, and seeing if you feel better, then gradually reintroducing foods to see if one negatively affects you).
B vitamins are also often helpful for depression, especially B12 (and some people can't process the main form of that--I forget what the other form is called). And magnesium for anxiety (I'm taking that now), along with valerian and a few others. Various amino acids, too. Getting your thyroid tested would also be good. Hope that helps!