I'm extremely sensitive to most medications (tried lots of different ones) and the side effects were unbearable and there was little to no improvement taking them. I know they work for most people, frankly if medication can work for you, then you should absolutely take it.
Exercise really does help. I'm 'addicted' to running now, if I don't run every morning I am miserable all day. I also do a lot of yoga in the evenings to help wind down and clear my head. If you want it to help depression you really do have to make it a daily routine no matter how rotten you feel that day.
Cut out all alcohol. I stopped drinking and it was actually hard at first socially but now I'm much more able to regulate and don't use alcohol as a crutch which is a nice feeling. I still do have the odd glass of wine but rarely now. You should probably completely quit, at least for a few months, just to see how it effects your base level mood. I can feel the effects of even 2 glasses of wine a day or 2 later.
You need healthy distractions. Watching TV, scrolling social media, browsing online etc are all distractions but generally lead to anxiety. Comparisons on social media to others lives aren't healthy. Also after 2 hours of binging netflix it's easy to then start to feel guilty, that you didn't do anything, that you wasted the evening, again etc. Find things that make you feel productive, it doesn't matter if they are actually productive or not but staying busy and focused on your own things also helps with a sense of self. You can choose something that you're bad at and aim to progress/improve. If you stick to it, it can lead to some sense of achievement which I know feels almost impossible when you're depressed but now I look at progress I've made and about half the time I'm sort of proud of myself, the other half of the time I'm still stuck in the 'what's the point' mentality but it's worth it for the positive, when I can see the achievement for what it is. You could try yoga, painting, a language, an instrument etc. Lots of free resources online it doesn't need to be anything expensive. As I say it helps give me a sense of identity and that you are moving forward and not just stood still while life moves around you.
You can practice mindfulness as well. Lots of resources online again. Often that involves experiencing a feeling and understanding it will pass. I use a form of this to effectively close the door on certain habit forming behaviours, thought spirals etc. It takes practice but it does work.
Find joy anywhere you can, sometimes you really have to look for it. I actively seek out reasons to be happy, chances to smile, no matter how small. I know it sounds a bit corny but sometimes you really do have to chase it, I don't think happiness just comes for many people.