While I agree that depressives should try CBT, I've begun to think some of the enthusiasm is misplaced, especially when contrasted with the scrutiny antidepressants receive. Yvain has written about this before:

The AJP article above is interesting because as far as I know it’s the largest study ever to compare Freudian and cognitive-behavioral therapies. It examined both psychodynamic therapy (a streamlined, shorter-term version of Freudian psychoanalysis) and cognitive behavioral therapy on 341 depressed patients. It found – using a statistic called noninferiority which I don’t entirely understand – that CBT was no better than psychoanalysis. In fact, although the study wasn’t designed to demonstrate this, just by eyeballing it looks like psychoanalysis did nonsignificantly better. The journal’s editorial does a good job putting the result in context.

This follows on the heels of several other studies and meta-analyses finding no significant difference between the two therapies, including, another in depression, yet another in depression, still another in depression, one in generalized anxiety disorder and one in general. This study by meta-analysis celebrity John Ioannidis also seems to incidentally find no difference between psychodynamics and CBT, although that wasn’t quite what it was intended to study and it’s probably underpowered to detect a difference.

In the vein of non-risky interventions, you might also want to add a section on meditation, expressing gratitude (not sure of the citation -- maybe here? -- but I recall the best possible selves intervention mentioned in the paper being ineffective among the depressed), and expressive writing generally.