Research is particularly difficult in this area because the study volunteers are self-selecting for psychedelic research. Basically, anyone ending up in a psychedelic research study is doing so because they think psychedelics are promising for mental health and they want to try it out. This creates a huge risk of placebo effect when your patients are arriving with huge enthusiasm and preconceived notions of efficacy. Combine that with the weirdness of a psychedelic trip and it's a recipe for a sort of super-placebo.
However, that's doubly interesting in that maybe the real reason psychedelics show efficacy in depression is that they are a sort of super-placebo. Put someone through a weird, confusing psychedelic experience and tell them that it their life will be radically different afterward and maybe they'll believe it so much that it becomes their new reality. Weirdly enough, we have the opposite problem with SSRIs right now because so many patients will start googling side effects and become convinced that they're not going to work before they even take the first dose.
It's an interesting area of research, but I think right now there's too much crossover between the research and the pop-culture phenomenon of "psychedelics cure everything". It's also strange that so few people are questioning why all of the previous psychedelic users didn't notice that the drugs were treating depression. In fact, the common wisdom among psychedelic enthusiasts years ago was that psychedelics were to be avoided if someone was not in a good mental state, largely due to all of the negative reactions they noticed. It seems that telling someone "this will cure your depression" provides a different set and setting than just giving them the psychedelics without context.