If you are not sure whether you have a clinical de- pression or dysthymia, I think it's a good idea to have a medical evaluation. The psychiatrist or psychiatric nurse can also order tests to determine whether there's a somatic cause and tell you whether medication would be helpful. If you think you are having a hard time, but are not clinically depressed, call a therapist. Ask around about who's good. Get a referral from your internist.
Some hospitals offer physician referral services and have counseling services available too.
It's not magic going on up there in your head. There are nerves, blood vessels, anatomical structures like your cerebellum and cerebrum that are doing something physiological up there. Most clinical depressions respond well to medication that re-regulates dysregulated communication between the neurons in your brain. This is not to say that exercise, diet, and psycho- therapy are not crucial. Medication works synergistically with all of the tools you can use.