My family has been had its fair share of mental health issues. If you went by the DSMIV guidelines, "depression" is a profound and elongate state of being, not just having the blues because of circumstances.
I've witnessed many forms of coping; excersize, meditation, religon, drugs, booze, sex, etc.
In the end, what seemed to work across the board was finding purpose in their lives, AND seeing beyond the moment. Purpose often drives action, which in turn creates a sense of control and satisfaction which some describe as the antithesis of depression.
I can't comment on medications and the treatment recommended by your doctors, but I know how devistating they can be from seeing it first hand.
For me personally, I think I've always been too defiant to stay down for long. I'd rather fight and struggle than accept a situation. Consequently, even though I've had some truely prolonged unhappy periods (circumstantial not depressive or chemical) I've managed to stay active and positive in most situations.
That said, I fully acknowledge that I have so many things for which to be grateful, that I can't personally justify feeling blue. A quick reflection snaps me right out of it - and forces me to deal with whatever is making me feel beat down. That's not to say chemical imbalances can't impose feelings upon you.
There was a period where I was on a very strong cocktail of pain meds - and the effect was astounding. For the first time in my life, I felt truely fearful and vulnerable emotionally. After that experience, I'll never underestimate how difficult it must be for women to cope with the sensitivity of their emotions day to day.