Depression is a chronic and debilitating psychiatric disorder that affects 300 million people worldwide. Pharmacotherapy is one of the treatments. Due to delay in initiating treatment efficacy and the incomplete response to mono-drug therapy in one-third of patients, new approaches need to be considered. One of the ways to overcome this resistance to treatment and to enhance standard medical practice is to add complementary medicines. We aimed to document research progress from studies on integrative medicine for the treatment of depression. Review of PubMed and Scopus databases on the topic and a personal collection of the relevant publications are the sources for this study. Some of the nutraceuticals and complementary medicines in the treatment of depression will be reviewed. Supplements discussed in this review include S-adenosyl-methionine (SAMe), Crocus sativus (Saffron), carnosine, theanine, palmitoylethanolamide (PEA), tryptophan and 5-hydroxytryptophan (5-HTP), gemfibrozil, curcumin (the main active ingredient in turmeric), Hypericum perforatum (St John’s wort), Lavandula angustifolia (Lavender), and Cinnamomum tamala. Despite evidence in favor of the antidepressant effect of several supplements, their efficacy and tolerability should be evaluated and validated by further high-quality studies.