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In addition to a healthy diet, lots of exercise, and a supportive environment, research suggests that treating diabetes, obesity, hypertension, and high cholesterol might each help decrease depression.  

Obviously, psychological and psychiatric counseling is often useful in the treatment of depression.  I have not attempted to gather together any of the thousands of studies on counseling.  The most researched successful form of treatment for depression is cognitive-behavioral counseling.  Many other approaches have been used and reported effective.  Many studies find that the combination of counseling and medication works best, although there are a fair number that find that counseling does not add anything to medications alone.

I will add some additional notes as I accumulate them.

Medication Helped Depression Psychotherapy Failures and Vice-Versa: In a 12-week randomized crossover study of 140 outpatients with chronic major depression, the rates of response and remission after 12 weeks of nefazodone (Serzone) 100-600 mg/d vs. cognitive-behavioral psychotherapy (CBP) were the same. Both the switch from nefazodone to CBP and the switch from from CBP to nefazodone resulted in clinically and statistically significant improvements in symptoms. Neither the rates of response nor the rates of remission were significantly different when the groups of completers were compared. However, the switch to CBASP following nefazodone therapy was associated with fewer dropouts due to side-effects, which may explain the higher intent-to-treat response rate among those crossed over to CBP (57% vs 42%). Chronic Depression: Medication (Nefazodone) or Psychotherapy (CBP) Is Effective When the Other Is Not. Schatzberg AF, Rush AJ, et al. Stanford University. Arch Gen Psychiatry. 2005 May;62(5):513-20. 

Cognitive-Behavioral Therapy Effective Via Internet: In a study of 525 depressed Australians randomized to one of two websites for depression or to a control treatment group, the two website groups showed significant improvements in depression almost as good as those treated by therapists.  All participants did receive weekly phone calls to interview them on their progress and encourage participation. One site (BluePages, http://bluepages.anu.edu.au) provided depression literacy, offering evidence based information (at 8th grade reading level) on depression and its treatment. The other site (MoodGYM, http://moodgym.anu.edu.au) offered cognitive behavior therapy for the prevention of depression. Australian National University.

Cognitive Therapy: Suicide Attempters Helped: In an 18-month random assignment study of 120 adults who recently attempted suicide, those assigned to 10 sessions of cognitive therapy had a 49% lower rate of reattempting suicide than those assigned to enhanced standard care. 13 participants (24.1%) in the cognitive therapy group and 23 participants (41.6%) in the usual care group made at least 1 subsequent suicide attempt (asymptotic z score, 1.97; P = .049)(hazard ratio, 0.51; 95% CI, 0.26-0.997). The severity of self-reported depression was significantly lower for the cognitive therapy group than for the usual care group at 6 months (P= .02), 12 months (P = .009), and 18 months (P = .046). Gregory K. Brown, PhD; et al. University of Pennsylvania. JAMA. 2005;294:563-570.

Fluoxetine Better than CBT, But Both Did Best for Teens: In a DB PC study of 439 depressed teens ages 12-17 comparing twelve weeks of (1) fluoxetine alone (10 to 40 mg/d), (2) CBT alone, (3) CBT with fluoxetine (10 to 40 mg/d), or (4) placebo (equivalent to 10 to 40 mg/d), the placebo and fluoxetine alone were administered double-blind; CBT alone and CBT with fluoxetine were administered unblinded. Compared with placebo, the combination of fluoxetine with CBT was statistically significant (P =.001) on the Children's Depression Rating Scale-Revised. Compared with fluoxetine alone (P =.02) and CBT alone (P =.01), treatment of fluoxetine with CBT was superior. Fluoxetine alone is a superior treatment to CBT alone (P =.01). Rates of response for fluoxetine with CBT were 71.0%; fluoxetine alone, 60.6%; CBT alone, 43.2%; and placebo, 34.8%. Fluoxetine, cognitive-behavioral therapy, and their combination for adolescents with depression: Treatment for Adolescents With Depression Study (TADS) randomized controlled trial. March J, Silva S, et al. Treatment for Adolescents With Depression Study (TADS) Team. Duke University. JAMA. 2004 Aug 18;292(7):807-20

Minimally Trained Counselors Help: A Pakistani study, sure to be politically incorrect in the U.S., found that female counselors with only 11 sessions of training were quite effective at helping female patients suffering from depression. 1226 women were screened for depression of whom 366 met diagnostic criteria for depression and anxiety. These women were randomly assigned to counseling or no counseling. Aga Khan Univ. The effectiveness of counseling on anxiety and depression by minimally trained counselors: a randomized controlled trial. Ali BS, Rahbar MH, et al. Am J Psychother. 2003;57(3):324-36. (Ed: My own experience in the U.S. agrees with this study. On a psychiatric unit I ran in residency, I found that patients loved groups run by nursing students and seemed to be helped, but degreed staff disliked me allowing the students to run the groups despite the fact that the degreed staff had no time to do it themselves. In the mid-1970s, I found that mentally retarded patients in a day treatment setting enjoyed recreational style programs run by untrained staff with high school degrees (at a cost of $20/day) and seemed to do better than similar patients in workshop programs with highly trained staff ($100/day). Similarly, psychiatric and elderly patients seemed to flourish in Kentucky’s mini-nursing home program where people could have up to 3 patients living in their home instead of nursing homes at a much lower cost than nursing home programs. Loving and caring staff who actually work with patients are more important than degrees).

Air Ionizer Helped Seasonal Affective Disorder in Small DB: In a 25-patient DB study, high or low density air ionization for 30 days found 58% responders with high density vs. 15% with low and relapse after stopping treatment. Columbia U, Treatment of seasonal affective disorder with a high-output negative ionizer. Terman M, Terman JS. J Altern Complement Med 1995 Jan;1(1):87-92

Self-Help Materials No Added Benefit: In a 26-week randomized study of 96 adults with major depression seeing family practice doctors and given anti-depressants, Beck Depression Inventory (BDI) scores fell from 27.3 to 13.9 in the intention-to-treat analysis, individualized self-help materials increased knowledge about depression, but there were no between group differences in outcome. A randomized controlled trial of the use of self-help materials in addition to standard general practice treatment of depression compared to standard treatment alone. Salkovskis P, et al. King's College London, London, UK. Psychol Med 2005 Dec 7;:1-9.

Yoga was as Good as Imipramine but less than ECT: Random assignment study of 45 MDD melancholics in Bangalore for 4 weeks. Response 93% ECT, 73% imipramine, 67% yoga. No placebo group. Antidepressant efficacy of Sudarshan Kriya Yoga (SKY) in melancholia: a randomized comparison with electroconvulsive therapy (ECT) and imipramine. Janakiramaiah N, Gangadhar BN, et al. J Affect Disord 2000 Jan-Mar;57(1-3):255-9

Complicated Grief Therapy: In a study of 83 women and 12 men with complicated grief, patients were randomly assigned to receive interpersonal psychotherapy or complicated grief treatment for 16 weekly sessions each. The response rate was greater for complicated grief treatment (51%) than for interpersonal psychotherapy (28%; P = .02) and time to response was faster for complicated grief treatment (P = .02). Treatment of complicated grief: a randomized controlled trial. Shear K, Frank E, et al. University of Pittsburgh School of Medicine. JAMA. 2005 Jun 1;293(21):2601-8.