I don't remember where I read that but major depression should be treated the most aggressively way possible because each failed attempt makes the next attempt less likely to succeed. This will probably mean a combinationof therapy, exercise and antidepressant.

The cocktails described in Stahl's Essential Psychopharmacology: Neuroscientific Basis and Practical Applications 4th Edition¹ are particularly effective but you absolutely need to be under the care of a psychiatrist to attempt that kind of treatment.

1) https://archive.org/details/stahlsessentialp0000stah