For many, medication, psychotherapy, or both, are very effective. Psychotherapy alone is enough to relieve the symptoms in many cases of mild to moderate major depression. Individuals respond differently to different types of therapy. If one fails, they should not despair but go on to the next. One will work.
Antidepressant drugs are effective in more than half of the cases of moderate to severe depression.
It may be necessary to try several different antidepressants before finding the one that works best for you.