Depressive disorder is a widespread psychological condition. It affects approximately 5% of adults globally. Untreated depression can compromise the quality of life in all its aspects, leading to deterioration of physical health or even suicide. Currently, the recommended treatment is pharmacological therapy, however, not all patients respond to traditional methods, and drug treatment is related to many undesirable side effects. While antidepressants remain the gold standard, non-pharmacological treatment methods are gaining popularity and recognition in Western medicine. While these methods are not always available as a substitute for pharmacotherapy, they can complement and enhance the therapeutic effects. In this paper, we will cover the newly researched, holistic methods of non-pharmacological treatment of depression, including physical exercise, dietary adjustments, psychedelics, or mindfulness, as well as the commonly accepted techniques, such as psychotherapy, electroconvulsive therapy, or deep brain stimulation. This review aims to present alternative treatments for depression and offer insight into the complex topic of improving quality of life and obtaining general well-being.