One thing worth considering is that your depression may have a physical cause and you need to get your doctor to eliminate other potential causes. Once you have ruled out physical causes then you need to be sure that depression is the right diagnosis, you might be struggling with meds because you are suffering from a different mood disorder.

Even once you are sure of your diagnosis, finding the right anti-depressant or combination of meds can take a long time. You need to really open up to your doctors so they can better understand your problems and work with you to find the right treatment.