S-ame (s-adenosylmethionine) is probably the most effective natural anti-depressant. I know it's widely used in Germany. There's extensive research on PubMed regarding it's effectiveness--if it weren't naturally occurring and therefore not subject to patent, it would likely be a blockbuster drug given that it outperforms most prescription drugs.

From my own personal experience, it reduces my anxiety within hours of taking it. And relieves depression in about a week. In the US, you can buy it off the shelf at any CVS/Walgreens. But it's certainly not cheap.