I think this is true, but oof that's a heavy list. For one thing, food, alcohol, drugs, and stimulants, all have addictive properties that are almost certainly comorbid with depression. Dropping those is rough.
Exercise is perhaps one of the easier ones but, personally, I've found it incredible to reflect on how absolutely bad my childhood "gym" classes were. At no point did we actually... go to a gym. That was never normalized for us. We sort of just learned how to do jumping jacks when we were told to, that sort of thing, and it was all structured for us. There was no habit forming, no "how to do this once there's no one around to structure it for you". In my experience, people who go to the gym get "brought in" by someone in their life who can help them build that structure. For someone missing it, well, you're truly on your own in a rather stressful environment.
Sleep hygiene is good but, again, I suspect tricky here.
Regular social interactions, another heavy lift! What do you do to build up a network of people in your life? Social structures don't just magically appear, and once again, they're usually just handed to you for most of your life and once those fall away you're in quite a spot trying to recover or build anew.
I think the environmental stressors may be the roughest, hard to say. Eliminating financial stress is something that can take decades. Noise pollution? That's really quite out of my control.
All of these are great things to work on but I suppose my read of them is "wow, being depressed seems really fucking hard if you have to do these things to get out of it".