Everyone brings out their anecdotes about how their aunt 'just got better through positive thinking, and you can too!' Or people just throw in whatever pop-psychology is currently in fashion. If we were having this conversation in the 1950s, all the smarty-pants would be talking about how depression is simply one of the many materialisations of conflicts between the concious and unconscious mind a la Freudian psychoanalytic theory.
Thankfully our methods of scientific inquiry (if you could categorise past efforts as such) have advanced significantly, and continue to do so. Our understanding of genomics suggests that mood disorders like unipolar and bipolar depression, and even psychotic disorders like schizophrenia, represent a spectrum of possibly thousands of different 'diseases', rather than the few 'categories' arbitrarily delineated in the DSM.
Advances in neuroscience and medical imaging allow us to directly observe how different symptoms are associated with inefficient information processing in different topographically localised brain regions. As we gather more data and the verisimilitude of our observations increases (as tends to occur with rigorous scientific study), we will be able to develop new treatments; be they psycho pharmacological (e.g. drugs) or physical (e.g. trans-cranial magnetic stimulation).
Yes, psychological therapy has its use, and has proven effective in certain situations. But it is just one tool in our ever-growing toolbox. To just blithely deem the rest of the tools to be useless and throw them out is to condemn people like me to a (short) life filled with suffering.