The higher incidence of heart disease in Scotland vs Wales has been traced to the inadequate winter sun farther north. I take vitamin D when I'm not getting tanned. I had a period of avoiding UV, and starting D supplements coincided with the lifting of a depression.
My favourite supplement, however, is just drinking extra water. I have to keep track, or I wind up getting dehydrated and too stupid to figure it out. Drinking twice as much as I really need keeps my system better flushed, and I get more energy. More energy leads to more exercise, and that is a very powerful anti-depressant.
I wouldn't call air a supplement, but as well as the heavy breathing of exercise, one can get supercharged on oxygen with meditation techniques. Observing one's breath can be as calming as watching waves on a seashore, and is recommended by innumerable sages.