Imagine something like a phobia. A real, strong, phobia, diagnosed by a real doctor. This phobia affects the day to day life of (let's call her) Ann. Let's pick elevators for the phobia.
When someone mentions an elevator Ann's heart rate increases, her palms get a bit sweaty, she starts breathing deeper. This is what most people call a "fight or flight" response. Her body is flooded with adrenaline. Her reaction is stronger - worse - when she sees an elevator even if she knows she does not have to ride that elevator. And now, at work where she has to walk past a bank of elevators to get to the stairwell she has to take 20 minutes to get herself past those elevators.
Her friends know she's "scared of elevators", but don't know the strength of the fear. They might say things like "but your fear is irrational! Elavators are very safe." Or "you should feel the fear and do it anyway!" (Quoting the title of a quite good book, but ignoring the content of that book.). And Ann probably says this kind of thing to herself. "Why am I being so ridiculous?"
If this was a rare thing (like flying is for most people) Ann could just get a prescription for diazapam, lorezapam, etc.[1]. But Ann needs to pass these elevators everyday.
Ann decides to just get over it. She decides to ride an elevator. As she walks towards it her breathing changes, her palms get sweaty, and her brain is arguing "you're going to get stuck!" "You're being stupid, just do it". She pushes the button and waits for the ding. Her stress pevels build. The door opens, and she gets in. The door closes with that odd elevator lurch. Again, her stress rises. She's visibly distressed. The elevator rides two floors then the door opens. Ann rushes out. But she doesn't feel a sense of victory. She feels a sense of crushing defeat, of shame even. And, as she gets further away from the elevator her body rewards her with endorphins. So what's actually hapened is tha. She has reinforced her fear, she has made it stronger.
Ann decides to go to a therapist. She carefully picks a qualified registered therapist and avoids the cranks and frauds. She picks someone who practices "cognitive behaviour therapy".
At Ann's first meeting she says "I know I'm being silly, but I really want to get over this ridiculous fear".
Her therapist (let's call her Beth) gently disagrees. "No, it's not ridiculous. It obviously causes you a lot of distress." - this is part of just establishing a relationship, but it's also important that Ann is finding her own answers. Beth continues "what are you scared of when I say the word 'elevator'?"
Ann says that she is scared the doors will get stuck and that the lift will be stuck between floors and she'll be stuck in there.
Now Beth starts the therapy. In a safe environment, away from any elevators, Ann is asked to list her "hot thought" ("The lift will be stuck between floors and I'll be trapped!", how strongly she believes this (1 to 5 or 1 to 10 or percents) Ann says very strongly, 10 out of 10, what the emotion caused by the hot thought is ("fear") and again how strong it is, and finally Ann is asked about her evidence for believing this. ("I read about the guy who got trapped in a lift for hours and I keep seeing stories like that") Beth at no point contradicts Ann.
Beth then asks Ann to sit with these feelings for a few moments. (Less than 3 minutes!) then Beth asks Ann to think of alternative evidence. Beth doesn't supply alternative evidence. So, Ann might start with a weak challenge to her thinking. She might say "Even though I keep seeing lots of articles probably hundreds of people get elevators everyday without problems." She's then asked to re-rate how strongly she believes her hot thought and how strongly she feels her fear. This is an iterative process! Those numbers are still probably very high.
Beth then begins a process of controlled desensitisation. Ann is in control of this - Ann will never have to do something she doesn't want to do. Ann is shown pictures of elevators. She's shown a video clip of the outside of an elevator. She's shown a first-person perspective of someone riding the elevator. She's taken to a building that has elevators. She's asked to call an elevator but not ride it, just watch from the outside the doors opening and closing. She calls an elevator and touches the doors. She calls an elevator and gets in and out while Beth keeps the door open. Eventually she calls an elevator, and gets on it with Beth, and travels a few floors. Every time she does one of these things she has to provide her hot thought, her strength of feeling, and her evidence and her alternative evidence. Beth might start challenging Ann's evidence "Do you think it's only hundreds of people? Do you think it might be very many thousands of people get an elevator each day with no problems?" "Do you think you seek out these stories of people being trapped? Why do you think they are reported?"
After about eight hours of work Ann will be able to call an elevator, get in it, and ride it for several floors (going up and down). She might not like it, but her fear will be under her control.
We know that for most people like Ann the CBT will be effective for at least two years, often longer. For some people it's a cure.
Mental health diagnoses tend to be clumpy - "depression" probably isn't one illness, but a cluster of different illnesses that affect people in different ways. Meds have varying efffectiveness, sometimes for genetic reasons. For some people meds alone are a treatment. For some peopel CBT alone is effective. Some people need both. A few people get little to no benefit from the different emds they try and don't have much luck with CBT and they go on to try stronger meds or mindfulness, or even things like ECT.
There are some interesting Cochrane reviews of meds and CBT. There are some interesting NICE advisories about different emthods of providing CBT or different meds.
We know that for some people talking therapies are as effective as meds.