Anthony’s comment:
Therapy is the first tool in treatment. Without self-aware-ness, any further attempts at treatment are going to be difficult if not futile. If a medical professional deems it necessary, medication can help one to cope better with depression. Neither medication nor therapy is particularly more effective than the other; for me personally it had to be both and I wouldn't have accepted any medicine unless there was the opportunity for discussion on my life circumstances.
Both medication and therapy are effective treatments for depression. The treatment choice depends on the severity of the episode. Mild depression is often effectively treated with cognitive–behavioral therapy or interpersonal therapy alone, for example. More severe forms of depression typically require the adjunctive use of medication.
Some individuals only take medication, but studies have shown that the combination of medication with therapy can be the most effective. When taking medication it is usually best to have some form of therapy at some point during the treatment to address the precipitating stressors. This helps to develop coping mechanisms and problem-solving abilities and reduces the risk of recurrence under stressful circumstances in the future.
The most important factor in determining a positive outcome from either modality is that both forms of treatment require commitment to the treatment for it to work. Therapy requires regular attendance to appointments, communication with the therapist during the session, and, for some forms of therapy, work on assignments between sessions.
The process of therapy is not easy. It can be anxiety provoking, and one does not necessarily feel relief after each individual session. Relief comes over time with hard work on the issues. It may feel easier to cancel sessions or to terminate treatment prematurely, but then the therapy is not given a chance to be effective.
As for medication, its use requires daily adherence and regular communication with your doctor. It is often difficult for many people to remember to take a medication daily, twice a day, or more. Doses may be skipped. Missing doses regularly results in reduced efficacy of the medication. Sometimes a medication does not work right away. It becomes frustrating, and the medication treatment is abandoned prematurely.
Often, when a person has a list of “ineffective” medication, many of them did not get adequate trials. You may wish to try therapy alone first, and, depending on progress, consider use of medication later. This route may be appropriate for milder cases of depression.
Again, the more severe the depression, the more likely medication will also be necessary, because improvement in symptoms usually occurs more quickly with medication. Persistent, unremitting depression can be harmful because of its adverse physical and emotional effects as well as its associated risk for suicide.
Therefore the decision to initiate or hold off on medication needs to be made very carefully. Again, it is optimal to be in therapy while on medication, because therapy provides the skills needed to manage stressful situations in the future and will hopefully deter future depressive episodes.