Unless you're talking vitamins, St. John's Wort, or the like, there is technically on OTC medication for depression, just supplement-type things. If you take St. John's Wort, however, do check with your healthcare professional. It interacts with A LOT of medication, so you want to make sure it's safe before you take it.
It theoretically interacts with a lot of medication because nobody knows how it works. Whether there's any evidence it actually interacts with medication is probably unknown. But that's not the only natural antidepressant out there. l recommend the poster get a book called Natural Highs by Hyla Cass, a psychiatrist at UCLA, for a fairly good overview of how natural medicine is used. And if you don't know it well you probably want to consult someone who does. Natural medicine isn't OTC medicine, however, and like the other person I know of no OTC drugs to treat depression.
I am not sure there is medication specifically for depression that can be bought over the counter. I have tried St John's Wort and 5HTP, and think they are the only ones apart from supplements that are supposed to help. Also tried Kalm, and Quiet Days. None of them effective for me really.
There are many supplements that might help, not just those two, and they're usually used in combination, not just one at a time. People who don't know natural medicine shouldn't assume it works the same way as allopathic medicine -- it's a more integrated approach. St. John's Wort works for some, 5=HTP probably is a better supplement, SAMe helps some, DLPA helps some, adrenal balancers help some, relaxants help some -- add them up and you might find you feel better, just try one and you have a lesser chance. There are a lot of plants out there and they all have effects.