Depression is miserable and people usually want it to go away. Will [solution X] remove or lessen your depression? Well, it depends on the cause of your depression...
* If your depression is caused primarily by a biochemical imbalance, something needs to be done to make your body work right or compensate for the fact that it doesn't. Conventional medicine is probably the best bet; sometimes herbalism, dietary changes, or other alternative options may help or may work better. Conventional medicine is terrific for identifying exactly what physical factors are outside of optimum parameters; but when it comes to fixing body problems that affect the mind, there's still a lot of trial-and-error involved. A broken brain is a lot more intricate than a broken leg. If no physical problems can be identified, the cause is probably something else and physical remedies are less likely to help. If everything in your life is okay or great but you still feel depressed, a physical problem is likely and physical remedies should help.
Note that physical imbalances can be a primary OR secondary factor: a healthy body surrounding a severely upset spirit can develop physical problems, and a healthy spirit in a malfunctioning body can develop mental/emotional/spiritual problems. If at all possible, track back to determine which came first, because it's usually more effective to solve such problems in order of occurrence.
* If your depression is caused by a life upheaval that happens and then stops, time is the main fix; you should return to normal eventually regardless of what is or isn't done, unless something else gets damaged in the meantime. It's typical to be depressed over a death in the family, a lost job, or other major impacts. If you can point to one of those, and you feel like your depression is a reasonable response, don't feel compelled to "fix it" just because mainstream culture is getting into the bad habit of expecting people to be happy all the time. Upheavals have the advantage of being easy to spot, so always check for those.
Catastrophic upheavals can cause enough damage that the mind and/or body can't recover without help, in which case talking or other mental approaches may help the mind and drugs or other physical approaches may help the body. If you've gone through an upheaval some time ago, and you feel that you should be getting better but aren't -- or if you feel like something is broken or out of place -- then consider taking more active steps. You should also check for other causes.
* If your depression is caused by ongoing ambient stressors, such as a toxic emotional environment or improper diet, then it is unlikely to get better until you change your environment or move to a safer one, regardless of what else is done. Some things, such as talking or drugs, may blunt your awareness of the ongoing harm but won't actually fix it. (That's a bad idea for the same reason that taking painkillers so you can walk on a sprained ankle is bad: the problem tends to get worse while you're not feeling it.) Some situations are obviously harmful, such as an abusive relationship; others, such as a bad reaction to certain food additives, can be quite subtle and difficult to pinpoint.
* If your depression is caused by a damaged or absent connection to the Divine, then spiritual work and faith will be needed to fix that. Drugs won't help and neither will anything else. This one is hard to cover up even somewhat with other methods. It's relatively easy to identify in acute form -- the classic "crisis of faith" triggered by a shocking event that makes someone doubt or hate God(s). But it also has a chronic form in which a person's spiritual life is wearing on them or is unsatisfying; that can be harder to spot. God-hunger in someone previously agnostic or atheistic is somewhat easier to spot, but very hard to handle because the person usually rejects that as a possible cause.
* If your depression is caused by an untrained talent or unfulfilled life purpose, that needs to be taken care of. Nothing else will fix it, although some things such as drugs may blunt your awareness of the problem for a while. (This is another "walking on a sprained ankle" situation, with two added twists: 1) some drugs can shut down some magical talents ... which may later erupt wildly if the drug is ever discontinued; and 2) if someone isn't doing the main thing on their list of life goals, sometimes the Universe decides to use a bigger hammer.) Some magical talents (empathy, healing, shamanism, spirit communion, etc.) are quite prone to making people miserable when out of control. The person usually won't recognize them as such, so these must be tracked with observations and questions similar to those for identifying talents in more positive situations. Life purpose issues can cause a sharp awareness of what's missing -- which is straightforward to handle, by pursuing the missing activity -- but more often manifest as vague but intense feelings of melancholy, frustration, uselessness, and "something is missing but I don't know what." This requires the extra step of puzzling out the purpose so it can be met. Divination and other mystical investigations can be helpful for exploring causes in this area; some people may find them useful for spotting other types of causes, to be further pursued with methods suited to the relevant area.
* If your depression has multiple causes, which is fairly common, then each of them needs to be identified and addressed. Otherwise, any single effort will fix only part of the problem. Unfortunately, most care providers only know one style of treatment; a doctor won't think to check your spiritual health and a priest has no oversight for your physical health. So it's a good idea for you to take charge of visiting people who specialize in different fields, particularly if you've had the experience of "well, this sort of helps, but I still don't feel quite right." Never assume that the first plausible cause is indeed the active cause in this instance -- or the only cause. Check thoroughly. Use different methods of exploration to cover different areas. The above list covers the most common causes and some of the less common ones, but other causes are also possible.
This is not intended as a recommendation for or against specific solutions; different things work for different people and circumstances, each with its own set of pros and cons. There are also no guarantees regarding the identification of specific causes; just varying degrees of probability and frequency, and assorted clues. This is intended as an example of how complex and interesting (or frustrating) it can get when people are trying to figure out what is going on and pin down one or more active causes for a particular instance from among a list of mundane and magical possibilities spread across multiple areas.