That's a good question. I was prescribed Zoloft and took it for 2 days and quickly stopped. It gave me massive headaches and I didn't eat for like 5 days and ended up losing about 15 lbs (which put me around 100lbs).
But my doc told me the meds take around 4-6 weeks to work. No way I'm taking them that long feeling the way I did. I'll just tough it out with nothing.
You should talk to your doc and see what the suggest for you. If you don't think they're working and you've been taking them for several weeks, maybe they can prescribe you something else.