Why don't any supplements work for me?

I have clinical depression and GAD. At the moment, I don't have insurance and can't afford any prescription medication. Over the years, I've tried so many supplements like l-theanine, aswaghandha, magnesium, mushroom pills, St. John's Wort, etc in various combos and doses but none of them make a difference. Is it just my individual body/mind? I also eat relatively healthy and keep things like caffeine, sugar, at a minimum.