I started dealing with depression about 10 years ago. I have tried many drugs with little benefit but plenty of the worse results such as weight gain, sexual side effects, and mania. I have been hospitalized multiple times on both sides of the spectrum but nothing was ever stated as a physical cause other than stress.
Only in the past year was a test done to check for imbalances that may lead to depression. It turns out my vitamin D levels were very low. Many people cannot create or absorb vitamin D very well (especially a problem in winter). To treat it, I was told to take 5000 IU of D-3. Guess what, it worked! And within a few days and not 30 days like some drugs that must build up in your body. Now I take a lower dose (2000 IU) as supplement. If I feel a bit off mood-wise, I can take a dose and it makes a difference within 30 minutes. Also, it significantly cheaper. I can get a 100 doses of D-3 5000 IU for $5 or 200 doses of 2000 IU for $6. I would pay at least $25 for a 30 day supply of anything else as a prescription and that is only if my deductible was met.
Big pharma always downplays nutrition supplements (even studies that support it) as natural cures because they cannot patent it and charge $5 and up per dose. That being said, some of these drugs do genuinely help people with certain conditions. The problem is the lack of diagnosis to determine the cause of the problem and just trying to chase symptoms with drugs that create more problems than they may fix and may take a month before any benefit is seen. With depression, that is a long time to basically go without help and subjected to immediate side effects only to make a person feel even worse about life.
Exercise and diet is not downplayed because they know that people do not have the drive, resources and/or time for it be a factor in not needing to take their drug for whatever condition.