The most difficult thing about depression treatments is that most medications take 2-3 weeks to kick in and it's hard to get motivated to see the treatment through.
Chemically here's what worked for me:
1. Ketamine saved my life. It's the only thing I've encountered that provides instant relief. If you're in a particularly bad moment and buried by your thoughts, ask your psych to write you and Rx for Ketamine nose spray. It's much cheaper than intravenous Ketamine and highly effective by my experience. There's a pharma version of Ketamine on the market now (esketamine) but that require heavy doctor supervision and are also expensive. There are special pharmacies that synthesize the nose spray for you. The effect of those small, regulated doses of ketamine is like putting your brain in the sink and giving it a good wash. It helped me through some rough times. The best part about it is that it's non-addictive. Once I got through the deepest of my doldrums, I stopped filling the Rx.
2. Wellbutrin. It's the only pill that worked for me, with the fewest side effects. The only side effect is that my libido is now significantly higher (undesireable, for me).