I've been treated for both reactive and major depression for over 3 years. most of the medications I was prescribed made me feel even worse with their side effects....(weight gain, profuse sweating, inability to sleep, etc).
a good 30-40 mins concentrating on weight sets, cardio with some upbeat music does ME a world of good and helps to keep both my BP and glucose levels much more even.
this is only my personal experience, but I've tried 4 different anti-depressants and didn't do well on any of them.
also i found that abusing alcohol only made my depression worse, it was a vicious cycle.