Maybe some people can think themselves better, but if you are properly depressed, and your doctor is suggesting medication, it's not failing/losing/lessening to take the drugs to correct a chemical imbalance. And stay on them until you're supposed to come off (not when you begin to feel better), as the last thing you want is to ping-pong between highs & lows.
Of course, fix the underlying issue (if there is one) when you can (i.e. see a psychologist and get proper instruction), but you want to get to a stable place first.
This is just my comment, a sample size of 1, but if it helps anyone else reading through this, so much the better.