Some boxes of breakfast cereal feature pictures of outstanding athletes. Suppose I were to eat such a cereal for years and not become an outstanding athlete. Would berating myself for not being a great athlete despite consistently eating the cereal make me better at sports? Would self-generated shame even serve as an effective motivation to continue eating the cereal? Would it not be more rational to question the efficacy of the cereal?

I am glad for those whose compliance in therapy has resulted in their complete recovery from depression. (But I wonder what the true statistics might be.) Berating myself for not being helped by the same methods is not going to make those methods more effective for me. Is it not more rational - provided I retain some rationality - to reevaluate the methods?
No. That approach doesn't work for me.