Depression is different for different people. It's an umbrella term that captures many different types of illness.
Anti depressants do work very well for some people; not so well for others; and not at all for others. Some people may have to try different meds. We know there's a genetic factor with effectiveness too.
But it's useful to have other approaches to treatment, and that's where the good psychologists come in.
There is always a bit of a kerfuffle between psychologists ("It's all psycho-social!") and psychiatrists ("It's all chemistry!") (the analogies with computer language flame wars are obvious) and the truth probably lies somewhere in between.