Doctors aren't always effective at treating depression. Especially if they use a therapy modality or medication that doesn't work for you. That doesn't mean you shouldn't talk to them, but it's also helpful to read experiences from from other people.

My opinion, doing both is good. Consult a professional and read about other people's experiences.

At the very least maybe somebody mentions a form of therapy that you've never heard of that you can ask your doctor about, or find a therapist that specializes in. If you ignored everyone's advice online you'd never even hear about that.

Personally, I'm starting Internal Family Systems therapy, which has seemed more promising for my psyche than many other modalities. But there are countless others. CBT is a good place to start, but doesn't work for everyone.