Here is a link to an article with multilinks and studies on exercise. And, yes, exercise can be very helpful. While a lot of the links are aimed at kids, it works just as well for adults. Not to mention that exercise is a great way to battle depression.
The jury is still out on supplements. There is no question that eating healthy is important. A high protein breakfast is very important! Here are two links that will give you some more ideas.
Finally, if you do have ADHD, you do need to rethink your position on stimulant medications. They work very differently on someone who has ADHD. What would send a normal person up the wall, will just calm down and help a person who has ADHD focus. If, of course, the medication is accurately prescribed. Also, depression, is a very common co-disorder of ADHD. Many times depression has been caused by ADHD. It is possible that the proper treatment of ADHD with medication (and therapy to help you understand how ADHD has affected your life) will allow the antidepressants to be slowly tapered off. Plus, the stim meds can be taken on an as needed basis and some have only about a 3 to 4 hour effect so can be taken just in the afternoon or morning (as needed).
Anyway, hope this helps. Please post if you have any more questions.