Something else that might help, & I didn't see mentioned, is Vitamin D. Our body can make this easily if you get 10-15 minutes of sunlight 2-3 times per week, but if you live in a climate that isn't sunny, or isn't sunny all the time, or if you cover up/use sunscreen all the time, you may not be getting enough exposure for your body's needs. They do make supplements, & if you choose to go that route, I would do fish oil rather that a synthetic supplement that won't be absorbed as well. Or, just spend a little bit of time in the sun without sunscreen on. Note: you do not have to roast yourself, just a little exposure, & doesn't have to be at the hottest part of the day either.
As far as the vitamins go, you might have better luck with food based or whole food vitamins. These two are not the same. Food based is isolated vitamins added to a base of enzymes, & food/herbal extracts & green foods like spirulina. A brand I really like that uses this method is Rainbow Light http://www.rainbowlight.com/
They have a wide range of supplements, some specific for depression.
Whole food vitamins go a step further. Isolated vitamins are grown into a food source, usually nutritional yeast, resulting in a vitamin that is much closer to regular food (no active yeast in finished product either). Our body recognizes it as food & can easily digest & absorb the nutrients, with or without food. For this type of vitamin I use MegaFood http://www.megafood.com/
Their Dailyfoods line is the whole food vitamins, the Essentials is food based. Both of these methods have been proven to have better absorption than isolated vitamins alone. The whole foods has a higher absorption than food based, but is also more expensive. There'a a lot more technical info on their site, too. Both of these brands are pretty readily available in health food stores.
As for the sugar elimination, you might want to check out the book Simply Vegan. It is written by a nutritionist, & even if you aren't vegan, all the dessert recipes are free of refined sugar & are yummy. They use maple syrup, fruit juice concentrates, brown rice syrup, all better than sucrose, but many claim that for severe depression it is best to cut out all sugars & starches, which the body converts to sugar-potatoes are one of the worst
Ok, I think this got long fast, & it's way past my bedtime too. Hope some of this is helpful.