Do you believe medication is always required in cases of major depression?   if not, what 3-5 behavioral changes are key to managing depression?

Depends. If you have a psychologist or therapist trained in cognitive behavior therapy (cbt), that is the first place to start. Other interventions such as diet, exercise, meditation, yoga, omega-3 fatty acids (fish oil) can help. Dr. Andrew weil's new book " spontaneous happiness" is a good resource.
Depression treatment. It depends. Some studies showed that mild to moderate depression is best treated by psychotherapy, whereas the best treatment option for severe depression is medications. What I think most researchers agree on is that tho combination of medications with therapy works the best. Among therapies, the cognitive behavioral therapy has the largest evidence base.