When I had depression and no insurance, I first read a whole bunch of books from the library and that way got much more info than I could from a doctor's visit. I got started on improving rest, exercise, light therapy, etc.
Then, when I had pretty much decided that meds was what I needed, I made an appt with my nurse practitioner/midwife and she wrote me a presciption. The visit cost maybe $100 and the meds were maybe $80? for maybe one month's worth? My NP knew cost was an issue and wrote it for a generic drug and for a double dose that was scored so I could cut it in half every day and pay less overall.
Another treatment option is supplements--the book The Mood Cure has guidelines for how to get started that way. I've heard inositol, fish oil, vit b, vit D but the people I know doing this are all women. Not sure if they recommend different things for men. The supplements are also expensive but possibly not as much as meds and with fewer risks.
I didn't do therapy--my issue was mostly biological. I have recently done some research and discovered that my local university has a clinic that costs only $15 per visit or you can join a group that meets weekly and the cost is even less per visit. Another option for cheap/free therapy is through churches.
Sorry I don't have better info for you but maybe that will help you search for some options in your area.