In the past I've had severe depression and anxiety attacks and tried both medication and therapy. SSRI's were great for relatively quick relief from a lot of the problems I was dealing with, but the biggest benefit came from lifestyle changes and talking to a psychologist/therapist. It's important to realize that their are two different types of doctors you can see when dealing with depression: 1. a psychiatrist (MD), who primarily treats symptoms by prescribing medication, and 2. a therapist/psychologist (PhD), who primarily works with things such as CBT or other forms of therapy, and may recommend you to a psychiatrist if s/he thinks you'd benefit from medicine.
I'm fortunate that now I have a very happy and successful life, but getting to this point required a lot of hard work, honesty with myself about things I was doing that were setting me back, and large lifestyle changes.