Hi J,
I think you've got the basics. I've looked into this pretty extensively too -- there are thyroid problems and bipolar disorder in my family, and I always worry about giving into genetics, too.
The things that have proven to help depression in the long term are, as you said:
Regular exercise
Healthy food
Cognitive behavioral therapy
You already touched on all three. Cognitive behavioral therapy is basically just retraining your brain to look at things in a healthier light -- i.e., not dwelling on the horrible things in the world around you, or blowing bad events in your own life out of proportion.
The thing I would stress is that all of these components need to run in the background as much as possible. It's too easy to beat yourself up for not being perfect -- eating bad food, or not eating the best food; skipping a workout, or not working out as hard as you think you should; trying to be happy 100% of the time, when in reality, we have to experience sadness or anger or other negative emotions once in a while.
The only other suggestion I have is making sure you surround yourself with depression-combating people. Friends who aren't drama queens, who are independent (not codependent), who are socially conscious enough to know how not to hurt you, or know how and when to apologize if they inadvertently do.
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~ Elaine.
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