Sorry to hear that medication isn't helping you. Or, maybe you haven't found the right cocktail yet? Sometimes it takes a while to find the right cocktail.
Also, have you asked about spravato? Here's the website:
Nasal Spray Treatment for Treatment-Resistant Depression (TRD)
It's for treatment resistant depression, and lots of people here have said good things about it. It can be expensive, though. *BUT* your pdoc can write an appeal to your insurance company stating that you have tried a multitude of medications for treating depression (as well as ECT), and that they didn't work or weren't very effective. I had to do that with Rexulti and my insurance started covering it when they refused to before.
Therapy can certainly help, though. It's always good to pick up coping mechanisms from your therapist.