A shortage of certain vitamins (B6, for instance, a precursor to serotonin) will often cause depression. There is, however, no evidence that most depression responds to vitamin supplementation. I fully expect that the reason for this is dead-simple: the modern 9-to-5 treadmill way of life is often the cause, rather than any "disease" in the traditional sense of the word. Your brain is responding correctly to external stimuli.

And there is no shortage of crackpot sites claiming miracle depression cures, just like for any other disease where the medical establishment has proven itself utterly worthless.