But more and more studies are proving depression is a physiological problem and not the stigmatized mental illness.
I think we want to be careful considering a point like this, I mean are we to understand it's strictly chemical and no behavioral intervention will do any good? It seems to me having a stigma and if the depression is behavioral in nature are two different things too. Just because it's not a chemical problem it doesn't mean it is automatically the person's own fault, there are plenty of environmental influences which may increase a person's chance for depression. I'm no expert but I certainly doubt it is strictly a one way mechanism, (and some experts seem to think so too) that we are helpless against our physiology. I mean it's one thing if you have always been depressed, (but even then there may be an environmental factor - take being raised as a JW for example) but if there was a life situation that triggered it that has to tell you it's not just the way you are born, even if it might be a contributing factor.
Another thing we might consider is the treatments does not necessarily reflect the nature of the problem. Unfortunately psychotherapy is not standardized, nor should it be, but the point is it makes it hard to compare with pharmacological interventions. One therapist may have done nothing for you, but another therapist may do the trick - the interaction there is too complex to generalize, it's not an exact science. While antidepressants and physiological interventions like ECT may be yield more immediate results, if the depression is psychological in nature and you don't resolve the issue, (or even become aware of it) then there may be no lasting cure until you really see what's going on.
Consider the simple fact that listening to a favorite song, talking to a good friend or just reading messages on a board like this can affect your mind state quite significantly, what does that tell us? I think it's obvious that environmental stimulus plays a big part. Although I haven't taken antidepressants, I have experimented with electronic devices that are designed to alter your mind state, including running electrical currents through my head - (not ECT, much more mild) and none of that made a big difference. The thing is these means can only induce general changes in mental states, the mind is far more complex and dynamic than the interventions that are currently available to us. If I was to be honest with you, I'd have to tell you that I found something deeper than the nature/nurture interaction, but since that's rather hard to talk about and people don't particularly care to go there I just say atleast be aware of both.
One thing to consider is that you don't feel like doing a hell of a lot when you're depressed, so even if there are things you can do for yourself you may not feel like doing it. But like anything else look for help and support, some of the behavioral stuff may just be a matter of being regular with it.