Diagnosis is in the eye of the beholder - it is whatever they think you have, because they are no objective, measurable, quantifiable markers known at this time for MI.
There are a lot of anti-depressants, you certainly could try different ones to see if they work and what side effects you have.
Psychiatry now is all about the pharmacology, not many of them work the psychoanalytic methods like in the old Freudian days. So I'm not surprised a psychiatrist might downplay the value of therapy - they think cure comes from the pharmacy and get heavily influenced by aggressive Big Pharma sales and marketing pressure.
Yes, therapy can most definitely help.