There are lots of different treatments for depression other than medications. As Karen has said, councilling is an option. There are a number of different 'talking therapies' out there depending on what kind of therapy is best suited to your situation and depression (For example: Cognitive behavioural Therapy - CBT, Rational Emotive behaviour Therapy - REBT etc...). Also, if your depression is seasonal or is affected by poor lighting, you can get light-boxes which simulate natural light. Also exercise and getting out in the sunshine get endorphines pumping round the body which can help alleviate depressive symptoms. The sunlight also helps your bidy process Vitamin D which will be a help to you.
That should be enough suggestions for you for the time being!