St John's Wort is renowned as a natural alternative to antidepressants, though make sure you do your research before taking it because it can interact with certain medications such as birth control.
Don't try any of them until you've successfully stopped your medication. There are many of them, and they are usually used in combination, not singly, and are combined with therapy, dietary changes, lifestyle changes, etc. -- a holistic approach. To get an overview, try a book called Natural Highs by Hyla Cass, a psychiatrist at UCLA who uses natural medicine in her practice.
I have found that any type of herbal supplement has made my depression worse. I cannot take any herbs at all. Thats just me. I have had clinical depression my entire adult life and the correct antidepressant was the only thing that worked. I agree with Serenwise do your research. And dont mix herbal supplements with antidepressants.