My opinion is you don't have to take them if you don't want to regardless of what a therapist or pdoc says. It's up to you. Anti depressants only work in some percentage of people. I don't think the exact percentage is known. 30 to 60? Some people keep trying different ones and combos of things until it works. This is a grueling process but a lot of times works. Some people can't tolerate them or only get side effects and no relief. I don't think it is irrational if you had bad experiences with them.

Therapy and exercise is a good strategy. Maybe throw in meditation, journaling, whatever else may help. Diet. See how well it works.