They are not the only approach to treatment. There are many others we know may provide a benefit such as cognitive behavioral therapy and many others. It depends on the patient.
I think it's useful to review the medical practice guidelines; they collect the relevant evidence in one place and recommend treatments based on them. American Psychiatric Association guidelines can be found here:
http://psychiatryonline.org/guidelines
For example, lets take the Major Depressive Disorder 2010 Guidelines¹ since it covers the most prevalent mental health issue. It is divided in three sections:
>Treatment Recommendations
>Background Information and Review of Available Evidence
>Future Research Needs
Many treatment modalities for the acute phase are suggested: pharmacotherapy, electroconvulsive therapy, psychotherapy and association of pharmaco- and psychotherapies.
The discussion of the efficacy of antidepressants starts on page 33. Here's a few important lines:
>A large body of literature supports the superiority of SSRIs compared with placebo in the treatment of major depressive disorder
>Each of these medications [SNRIs] is efficacious (i.e., superior to placebo in controlled studies and meta-analyses)
>Mirtazapine has comparable efficacy to SSRIs
>Although trazodone is an effective antidepressant, relative to placebo, in contemporary practice it is much more likely to be used in lower doses as a sedative-hypnotic than as an antidepressant
>Despite widespread use of trazodone as a hypnotic, few data support its use for this indication
>In comparative trials versus SSRIs, nefazodone showed comparable efficacy and overall tolerability
>Tricyclic antidepressants are effective treatments for major depressive disorder and have comparable efficacy to other classes of antidepressants, including SSRIs, SNRIs, and MAOIs
>MAOIs have comparable efficacy to other antidepressants for outpatients with major depressive disorder and may be appropriate for patients with major depressive disorder who have not responded to safer and more easily used treatments
It's well-established that modern psychotropic medications are effective treatments. Choosing among them and offering the patient the most appropriate medication is a complex process. In particular, the appearance of side effects and how well they are tolerated must be monitored.
Of course, general health advice applies. Regular exercise is likely to improve mental condition. However, I've never had the experience where a severely depressed person suddenly got motivated, started exercising regularly and got better. In fact, reduced energy and decreased activity is one of many signs² of depression.
¹ http://psychiatryonline.org/pb/assets/raw/sitewide/practice_...