I tried CBT and I just didn't get it. The examples that the therapist gave just didn't resonate with me. If your depression is characterized by lots of negative self thought - "other people hate me" and that sort of thing then it will probably help you more than if your depression is the crushing suffocating millstone that feels like a physical burden following you everywhere.
That is my experience. There is a forum for psychotherapy and I am sure that you will find some helpful advice there.
Psychotherapy - Forums at Psych Central