It is very late when I read your post. But I am deeply touched by your initiative and your effort to help your fiancé to go through such a hard time. I could only wish that my bf (now ex bf)would be as supportive as you have...and have not left me after I have experienced a hard time.
I have experienced mild depression in the past. Until now, I am not definitely sure if it was severe enough to be called clinical depression but I had felt that I had hit my lowest point and felt very down and uncomfortable. I also have a friend who occasionally suffers depression. I did psychology as my undergraduate degree so all my suggestions would either come from my own experiences and things I have learned in courses.
I suggest you to read into a bit about cognitive-behavioural therapy and Carl Rogers' person-centered therapy. I think Rogers' person-centered therapy is very easy to learn. In fact, people in suicide hotlines are trained in person-centered therapy. Two main aspects of this therapy are unconditional positive regard and empathy. Unconditional positive regard means that accepting your fiancé for who she is without disapproving feelings, actions or characteristics. And empathy of course means understanding and appreciating your fiance's feelings. During a therapy session, the therapist won't give suggestions to the client's problems. Instead, the therapist would repeat what the client has said in different wordings and ask relevant questions until the client figures out what he/she really wants. When my friend is experiencing anxiety and depression, I usually use some of these techniques. Here is the link to Carl Rogers' famous therapy session (there are five parts to the therapy. The link is the first part of it):
http://www.youtube.com/watch?v=ZBkUqcqRChg

Of course, you should ask her to see a psychologist and a psychiatrist. But beside those, in recent literature on depression, yoga and mindfulness meditation have also shown to be very effective in treating depression and anxiety. So I highly suggest your fiance to try those, especially considering that yoga sessions are way cheaper than therapy sessions with a psychologist.

Also, exercising is very very important!! Exercising in and out of itself can help relieve depression. Theoretically, during exercising, stress hormones are expended and endorphins are released. If you have time, bring her out for a run or something. I think for any people who are prone to depression, exercising regularly is a must if you want to prevent depression.

I don't know if you know much about depression and how depression is diagnosed. If you don't know, I suggest you to read about it, especially how DSM diagnoses major depression. I want to make you highly aware that DSM criteria are constantly changing and how we conceptualize depression is also constantly changing. Just because your fiance is feeling very down for few days, it doesn't necessarily mean she is having a major depression. Also just because doctors think antidepressants would help her, it doesn't mean she really needs to take it.
Also depression comes in episodes. And most people's depressive episode will be over in 6 months even without any treatment. It is called spontaneous remission. Anyone who has the motivation to get better and who receives LOTS OF SOCIAL SUPPORT will definitely get better sooner than that. Oh I guess that is a very important thing to mention: SOCIAL SUPPORT! I am very glad that you are offering her social support because social support really really makes a difference. Please talk to her friends and family and ask them to give her a lot of encouragement and support!

Last thing I want to say is that stress is what triggers depression in most cases of a depressive episode. Therefore, reducing stress is also very important. If you can help her with some tedious chores so that she doesn't have to be stressed out about it, it would also help her dealing with her depression.