It happened to me. I thought I was doing okay on Prozac. It was the first modern AD I'd ever tried. It was far from perfect but it also worked far better than anything else I'd tried. I was in an MHMRA program at the time. Doc and caseworkers rotated in and out like clockwork. One new doc decided I wasn't doing well enough. He switched me from Prozac to Effexor XR. Long story shortened... it was neither better nor worse.
I hope things work out for you. I understand how scary a new med can be. It took my first MHMRA doc two weeks to convince me to try Prozac. That was near the time of the Scientologists campaign against meds and all the horror stories about Prozac.