It is premature to get excited about chromium picolinate.  Psychiatrists at the University of North Carolina and Duke have just started to look at it, but the studies done to date barely even scratch the surface.  I do not recommend chromium for depression at this time.

Chromium Picolinate Helped in Small DB: 15 MDD DB PC 8 weeks. 70% (7/10) chromium 600 microg/d vs 0% placebo responded. Duke. Effectiveness of chromium in atypical depression: a placebo-controlled trial. Davidson JR, Abraham K, Connor KM, McLeod MN. Biol Psychiatry 2003 Feb 1;53(3):261-4

Helped Eight Treatment Resistant Depression: 50yo with 25 yr hx dysthymia partially responsive to sertraline improved on self-prescribed chromium picolinate 200-400 microg/d. Four others then tried. All responded, two as sole med and three as adjunct. McLeod, J Clin Psychiatry ’99;60:237. Same author raises total to eight. Int J Neuropsychopharmacol 2000 Dec;3(4):311-314, U North Carolina

Anecdotal Reports of Chromium Helping Depression: Med Hypotheses 1994 Oct;43(4):247-52, McCarty. Gives some highly speculative reasons why such benefit might exist and mentions that there have been anecdotal reports.