Exercise definitely helps alot, results are comparable to medication. It helps in two ways - 1) through the release of endorphins, 2) the loss of weight.
Folate is easily obtained through leafy vegetables, beans or eggs and has been shown to mediate the effects of some anti-depressants. Low folate levels can mimick feelings of depression that should abate once the deficiency is rectified. It is worth a try, though it will not work unless you have a deficiency of the nutrient. If not it will have no appreciable effect (on depressive symptoms in any case).
There is some very weak evidence that fish oils might lessen the severity of depressive episodes, or even stimulate production of body chemicals which produce happiness (dopamine, serotonin). If you are a vegetarian the specific fatty acids to to look for in a supplement are docosahexaenoic acid and eicosapentaenoic acid.
Further nutrients which MAY help - Vitamin B12, Iron, Zinc and Selenium. You should be able to find a multi-vitamin which contains all of the above (except exercise).
However, I would reccomend that you do not take these nutrients indiscriminately. Keep a journal a week before you start, and record your feelings and levels of depression/anxiety. Start taking the multivitamin, and continue to record your journal. After a month review the journal, if your symptoms have not abated then don't continue to needlessly waste money on nutrient supplements. There is not much evidence that long term use of supplements impacts health in any serious way.
If I could give you advice, stay in contact with friends, keep doing the things that you enjoy, even if you feel that they will not be enjoyable anymore, and if things get worse go see a psychologist. There are well established non-pharmaceutical treatments for depression and anxiety, and if you have had bad experience with one particular style of therapy there are others that might give results.
Good luck!