Add in more fish oil or omega 3 from other sources. Make sure it is pure. Nordic Naturals and Carlson's are ones I highly recommend. they are tested in an independent lab for purity and efficacy. Omega 3 fats have been studied to improve depression and of course over-all health.

Take a good multi-vitamin and get outside in the fresh air and a dose of sunlight. The winter blues is common and so sitting in the sun can help tremendously. It also will provide you a dose of Vitamin D - also highly studied to shows great physical and mental health benefits. This means no sunblock for 10-20 mins a day. Now of course it may be a bit chilly outside so I suggest supplementing with a natural source of Vit-D as well and if you are taking Cod Liver oil for your omega 3 then you are also getting a good dose of Vit. D

Look into St John's Wort to supplement. It is known to help with depression, though if your case is severe, may not help as much, but it is worth a try.
And don't forget exercise. It is important to keep yourself strong, but also exercise is known to improve depression dramatically. It is the best form of medicine I know. So walk, run, bike, punch a bag-join a boxing gym or martial arts class - you will feel empowered and do your mind and body good.

Try Yoga. My favorite yoga (as honestly, it usually bores the hell out of me) is Kundalini Yoga. I have several CD's and enjoy them immensely.

Don't forget to breathe. Learn breathing techniques and sing in the shower or car to your favorite CD. Singing is great for deep breathing and its fun to find something you can bang your head to and help vent your frustrations.

Sleep. Make sure you are getting a min. of 7 hours a day with the hours before midnight proven to be the most beneficial. If you are having troubles sleeping, try 5htp and/or melatonin. I would get with your Dr. to get the recommended dose (This might be a good time to see a reputable naturopath or alternative Dr.) Also, make sure you stop eating at least two hours before bed. If your body is busy digesting during the night, it can't rest or restore.