What are the recommended lifestyle changes for depression treatment?

Exercise/diet/sleep. Exercise (any amount is good but ideally you should get at least 30 min on most days), make healthy food choices (see http://www.Hsph.Harvard.Edu/nutritionsource/what-should-you-eat/pyramid/) & practice good sleep hygeine (get enough sleep, go to bed & get up at the same time every day). Try to spend some time outside daily, especially when it's sunny. Try keeping a journal.
There are many. Definitely agree with my colleagues here and would recommend exercise, and sleeping regularly. Also would recommend getting plenty of b vitamins like b-complex and eat well and try doing things that you enjoy regularly. Staying away from alcohol and illicit drugs as well. And finally keep your self engaged with family and friends and not to isolate yourself. Socialization is important too.
There are many. Exercise ! eat well. Get plenty of sleep. Talk to those you love.