You really have to individualize it to the patient. There actually are many safe, effective alternatives. If one is depressed because of a problem in one's relationship, there's couple's therapy. If one is on an antidepressant for a phobia or some other form of anxiety, we have good research showing behavioral treatment is the most effective in the long term. If the fundamental problem is substance abuse, 12-step programs are very effective.
Aerobic exercise is a great natural antidepressant.
If one is severely depressed, one probably doesn't have the energy to exercise. But once one is feeling better, perhaps on an antidepressant, aerobic exercise can be a great way to wean off the antidepressant. I'm very concerned about the huge number of children that are being prescribed these antidepressants. This has been described as a national health care crisis. I think children are the tip of the iceberg.