Hi,
i feel that sometimes it is useful to start anti-depressant medication, if the depression is severe and you are not improving by other means. Depression can be reduced by things such as exercise, or therapy and can often also be related to poor diet, such as deficiencies or hypoglycemia. Do you know the cause of your depression at all?
I personally have been on anti-depressant medication, which helped me alot but also caused futher problems due to the adverse side effects that they had. I feel that it's an individual choice - but from my experiences I would suggest that you do as much as possible to beat the depression by other means, unless you really feel that you can't cope with the depression anymore.
Take care