Certainly many people have done this. It works pretty well with situational depression. It can also work well with mild chronic depression. I think it’s a lot harder to use effectively when you have a serious depression.
Cognitive Behavioral Therapy is very helpful with training your mind to fight off depression. Mindfulness training is equally helpful. Which works best for you is a matter of personality. CBT was horrible for me. It made me worse. Mindfulness has been really helpful.
I would not do this on my own. It’s fine to use mental techniques and exercise and yoga and meditation, but I would get some training and advice in how to make these things work for me. I hope the reason you want to do these things is not because you can’t afford health care.
Be very careful and monitor yourself (or have someone else monitor you). Depression, if it keeps coming around, gets worse and worse each time, according to my therapist. You may be in a mild depression now, but if you don’t learn how to control it, it will come back worse the next time. A few rounds of that, and you’re putting your life in serious danger.
Good luck!