I am periodically troubled by depression. It would no doubt happen far more often, but I am taking prescription medicine which helps a lot. I am on the very beginning edge of Ananda learning (beginning meditation and yoga) so I don’t have any knowledge of yoga having a beneficial effect. Does it?
Yogic "lore" would certainly hold that yoga is helpful for depression. We’re at the very beginning of demonstrating (from a Western medical point of view) the efficacy of yoga in treating depression, but the research results so far are encouraging.
The yoga postures seem to help, although it’s not yet clear whether they are any more helpful than other forms of exercise. My suspicion is that they will prove to be so if done in such a way as to relieve stress, which is a huge factor in depression.
Meditation and breathing techniques, however, seem to me to hold much greater potential. And in the case of Ananda’s spiritual tradition, the Energization Exercises are particularly effective. Here’s a very interesting article about a research study that we did here at Ananda. It’s not only about depression, but certainly that’s an aspect of it.
In summary, then, yes, do take up the practice of the various techniques of yoga. I am confident that you will feel results. And continue on your meds as a way to give the subtler effects of the techniques enough space to take hold. Over time (perhaps not very much time), you should gradually be able to reduce the dosage, perhaps even eliminating it altogether. I recommend that you work with your physician on this; going off meds on your own may or may not work, and it’s best to stay safe.