First, a word of warning...watch for any unusual neurological symptoms when supplementing with B6. I suffered with increasing burning, skin-crawling sensations and tics/twitches for several years, along with a vibrating/buzzing sensation in my feet. I had been taking some multivitamins every few days, including a B-50 complex. Eventually, we checked my B6 levels and they were through the roof. My endo and my neurologist both told me that quite a few people cannot clear B6 from their system in supplement form, despite it supposedly being water-soluble.
Once I stopped taking the B-vitamins, my symptoms went away over about 3 months.
So be sure to measure your levels periodically. Too much can be harmful. My endo said he wishes the vitamin industry would just take B6 out of B-complex and offer it only low dose on its own, because of the dangers of overdose.
Re: depression, I've had several serious episodes of it (though none for >10 years). The absolute first line of defense is to cut sugar and carbs WAY down or out of your diet. Insulin imbalance affects all kinds of processes, and mood as well. It also indirectly affects the functioning of other hormones, which affects mood.
Second, make sure you get aerobic exercise, every day if possible. You should break a sweat for at least 10-15 minutes. (Trust me, when you are depressed, you won't want to, but it really helps).
Finally, try to get a minimum of 20-30 minutes of OUTSIDE DAYLIGHT every day.
These have all worked to help me when I was in a deep depression, and to stave off several episodes when I was starting to slip. Therapy and medication can be important, but if you aren't doing the three listed things, you'll be working against yourself and against any other productive steps.