Let's be scientific about this.
Studies have shown that cognitive-behavioral therapy is a great treatment for depression and anxiety. But don't take my word for it - here's an excerpt from a class at Yale taught by the psychologist Paul Bloom, which can be found here ( http://oyc.yale.edu/yale/psychology/introduction-to-psycholo... ):
"In turn, there is a cognitive behavioral therapy that's based on Beck's theory. And the major steps in this involve identifying the themes in a person's negative thoughts and triggers for them and in helping the person challenge those thoughts by asking them what the evidence is for their interpretations, whether there are other ways of looking at the situation, how they could cope with the situation if a bad thing really did happen. So, the therapist helps the client recognize negative beliefs or assumptions and then challenges the truth value of these, and then change aspects of the environment that are related to depressive symptoms. So, they challenge your rational thinking, but they also recognize that there are really bad things that sometimes are going on the life of a person who is depressed, and they help them engage in more active problem solving to change those environments. They also teach the person ways to manage their mood so that they don't tumble down into depression. And these cognitive behavioral therapies have been shown to be extremely effective and as effective in some ways as the drug treatments.
So, this is a recent study in which they had 240 patients with major depressive disorder. They gave them four months of acute treatment with either cognitive behavioral therapy or Paxil, which is an SSRI. And in eight weeks here--they also had a placebo control group where they just got a pill, but it was a sugar pill. At eight weeks, the Paxil group, which is in red, and the CBT group, which is in yellow, were relatively even, although the Paxil group had a little bit of an edge over the CBT group. But by sixteen weeks the Paxil and CBT group were absolutely even in terms of the percent of people who were no longer depressed. So, both of them resulted in about 60% of people not being depressed.
And then one of the things that's been found over and over again with cognitive behavioral therapy is that it not only helps people get out of a current episode of depression, it helps to prevent future episodes of depression because it teaches the person new coping skills for dealing with new stressors that arise. So, in this same study they followed the patients for an additional twelve months. And of the Paxil group, half were left on full-dose medications to see if you could prevent depression by just keeping people on the meds, and half of the Paxil group were withdrawn to a placebo. And let's look at the placebo group first here.
This is the sad news about depression. If you just take drugs to get out of a current episode and you go off of the drugs without having any kind of psychotherapy, your rate of relapse tends to be very high. So, in this group of 240, almost 80% relapsed in the first year after going off of the active medication. Again, these were people who did not get any cognitive behavioral therapy. Of those people who stayed on Paxil alone, about 50% relapsed. But of those people who got cognitive behavioral therapy, only about 35% relapsed. And this kind of finding has been replicated over and over again, namely that CBT can reduce the rate of relapse in depression quite dramatically."
Another leading psychologist, Jonathan Haidt of Ted fame ( http://www.ted.com/speakers/jonathan_haidt.html ) runs a website about the psychology of happiness, including what to do if you're depressed (and/or anxious).I can't summarize the site into a few sentences, but I would like to highlight this excerpt:
"Happiness doesn't come entirely from within, but if you ever have to choose between changing your thinking or changing the world to make it conform to your wishes, be sure to choose the former. Particularly if you scored below average on the various happiness and optimism measures above, the odds are good that you'll benefit from some form of cognitive therapy. Even if you scored above average, you probably have some unhealthy thought patterns: are you very sensitive to rejection? Do you tend to hold on to anger? Do you ruminate about the things you should have said, and kick yourself for days over the things you did say? Cognitive therapy, meditation, and anti-depressant drugs all help you change your thoughts and reduce pessimism and rumination.
Learn to do cognitive therapy on yourself. It's easy, and it works like magic. Start by reading a book such as Mind Over Mood, by Padesky & Greenberger, or Feeling Good by David Burns, or Learned Optimism, by Marty Seligman. (For problems with anxiety, see The Anxiety & Phobia Workbook.) Learn the names of the common thought distortions and fill out a "dysfunctional thoughts record" each time you have one."
The full website can be found here: http://www.happinesshypothesis.com/beyond-gethappy.html