Anyone have a similar experience or maybe some insight that might explain this?
The only way we know to tell one from another is by what med helps, if any. If none do, it's "non-responsive depression" or some other catch-all. Depression, like schizophrenia and a host of other DSM diagnoses are the DSM's equivalents to "wastebasket taxa" in taxonomy.
People insisting that randomized controlled trials ("RCTs") prove that depression meds, and other psychiatric meds, don't work demonstrate their ignorance of the major failure mode of RCTs: unreliable diagnosis. Given that last, the RCT tells you nothing, positive or negative, absent very careful, detailed deconstruction of individual outcomes.
Some thoughts:
1. You may have taken a form of supplement you don't tolerate well. I have trouble with sulfur. A lot of iron supplements are sulfur based. They cause negative side effects for me.
2. In order to be properly absorbed, magnesium needs to be taken with some other things, like calcium, vitamin D and vitamin K. Maybe you weren't absorbing it well because you weren't taking it with these other things.
3. Maybe you have some unidentified genetic quirk that impacts the processing of magnesium.
4. A nutritional approach to addressing health issues is a case of "Things get worse before they get better." A lot of people use the term "healing crisis" to describe this process. If you think you have never heard of such, think again. The best known form of this phenomenon is drug withdrawal.
5. You aren't magnesium deficient, so you were actually causing yourself an overdose of magnesium. There is some other explanation for your depression. Magnesium deficiency is not it.
Most people get too much calcium in the first place. So, you'll want to stick to a supplement that only has magnesium in it. But supplement companies aren't regulated by anyone so, you really need to trust the brand that what they're putting in there is what they say they're putting in there. Because they're so unregulated I wouldn't trust them at all.
Better yet, try some whole foods. The very highest densities of Magnesium are (per calorie): Wheat Bran, Zuchini, Pumpkin Seeds, Hemp Seeds, most beans. Green veggies are also super high but I know most people won't eat a ton of those. So, Cashews are also fairly high in magnesium and delicious. Put Wheat bran in your oatmeal to increase the magnesium content. if you want more ideas, check out: https://kale.world/c (sorry to link to it twice, but that's where i've done all my nutrient density analysis)
GI changes / issues
You don't have enough vit-d to bind with