Overall with any mental health issue you have the choice to not take medication. You take the risk however of not getting the benefit that medication offers. The alternative is therapy where you could understand why you feel depressed and learn what your triggers are so you can avoid them. You learn behaviorally what to do and this helps you manage your mood. Some people do very well with therapy. It really depends on your motivation and your dedication to reducing your triggers.
I know you said you are scared but evaluate the reason you feel this way. Sometimes the trade off between your fears and the benefit of medication may outweigh each other. The choice is yours but you may discuss these with a psychiatrist. Your fears may be unfounded and this can help you make an informed decision,
If you still say that you want an alternative then therapy can be very useful. Other remedies such as natural therapies I cannot speak about because I am a therapist