After years of struggling with depression and trying every over-the-counter and prescription drug, my doctor (md with alternative medicine training) decided to test my hormones. I'm a woman in childbearing years. Turns out my estrogen level was way out of wack and once he put me on a natural progesterone to level out estrogen levels, I have been depression-free for a year now! I just had to tell more people because I can't believe other doctors didn't think of this before. Natural progesterone (not the same as synthetic progestin in birth control pills) is often used for pms but not all hormone-related depression is just before someone's period. Even if you don't think it's pms related, it might be worth getting hormones checked out if you're a woman.
Also, for women over 40, it could be perimenopause or menopause and the same testing and treatment might hold true. I specifically went to a doctor trained in integrative medicine, similar to Dr. Andrew weil. My ob/gyn didn't think testing hormones would tell her anything so this is not a standard thing. But it worked for me and other people I know, so it just hasn't caught on with all doctors yet. Good luck.