If you've been diagnosed with a vitamin deficiency, then taking a vitamin supplement seems sensible.
Experimenting with supplements isn't a bad idea if someone's condition is mild, they don't have access to prescribed supplements, or their top priority is saving money.
For conditions that are serious, especially ones that are life-threatening, and professionally prescribed supplements are available, professional treatment is a better way to go. It's important to get the right supplements to ensure that you get the most benefit, but also to avoid supplements that could make things worse.
From the perspective of traditional Chinese medicine, there is no one supplement that is good for depression, because depression is a symptom of several possible underlying conditions, not a condition in itself.
I strongly recommend that you try getting a prescribed Chinese herbal tea. I don't know where in the UK you are, but certainly if you are near London, there should be plenty of professional herbalists there, as well as a number of acupuncture schools that teach herbal medicine and have a teaching clinic.
I can say more about finding a clinic if you are interested.
If you decide to take any supplement, it's probably a good idea for your doctor to know what you are taking.
I've been getting a prescribed Chinese herbal tea off-and-on for a while now.