I'm a firm believer that antidepressants alone cannot cure depression or other mental health disorders, however, for me antidepressants were the first core component. Without the benefits I received from my antidepressant I was too depressed to even want to try other things to help, but with the medicine I improved enough to want to try other treatments such as exercise, healthy eating, cognitive behavioral therapy, etc. However, starting antidepressants isn't cut and dry and there are some important things to understand before you head down this road.
1. Doctors are not necessarily experts in which antidepressant is best for you. Most primary care physicians have very limited knowledge of the various antidepressants. Psychiatrists are a better option but even they have to play a little bit of a guessing game. The best thing to get the recommendations of a Psychiatrist but then research those suggestions yourself. Ask your Psychiatrist to list several antidepressants that may be useful to you and ask them the pros and cons to each one. I had anxiety and often doctors would recommend antidepressants that exacerbated anxiety without realizing it. I also had a negative reaction to Effexor and then had a doctor recommend an antidepressant that was in the same class (type) of drug as Effexor, when I pointed it out she quickly acknowledged that this would be a bad one to try.
2. When trying a new antidepressant be prepared for subtle side effects, monitor them and keep in mind that some side effects are only temporary when your body is adjusting to the medication. Many medications may cause side effects for a day up to a few weeks until your body is used to the medication. However, if the side effects are detrimental to you (increased suicidal or self harm tendencies) then you seek medical help immediately. Quitting an antidepressant cold turkey can sometimes create severe withdrawl symptoms, so you want to be under the supervision of a doctor when going off of a medication to determine how to best do so.
3. Feeling Better? Don't quit the medication. One of the most common tendencies for people taking new antidepressants is that they slowly and subtly start feeling better over the course of a couple weeks and quit taking the medication because they're feeling better. They often fail to realize that they're feeling better because the medication is working, this is because it happens subtly. I recommend you track your moods and though patterns on paper, and if it is improving over 2-3 weeks than your medication is being effective, if not you will want to consult your doctor to see if you should consider an alternative medication.
4. Supplement your antidepressant with other things! An antidepressant alone is not a complete fix for anything. It is highly recommended that people with depression also consider taking 5-htp which is the body's natural chemical that helps create seratonin, as well as Fish Oil which has been shown to aid in depression. However, you always want to consult your doctor first as supplements (including vitamins and herbs) still can interact with your antidepressant so you want to be sure that there are no contraindications for taking these supplements.
One of the most effective treatments for depression is Cognitive Behavioral Therapy, which is essentially training yourself to think positively and not negatively. This may sound simple at first but it has been shown to physically change your brain chemistry. There are therapists that can help you with this process or you can read books (i.e. "Feeling Good"). I also recommend simply reading positive affirmations everyday such as those by Louise Hay. Even if you don't feel like doing it, these exercises can still work, just like physical exercise is often unpleasant but leads to good results and gets easier over time. This was the most instrumental treatment in getting me through my depression and suicidal thoughts.
Other things to supplement medication include exercise, social interaction (with trusted friends), music therapy, laughter (watch lots of comedies) and reducing stress.
I highly recommend you read up on antidepressants before simply following a doctor blindly. Here is a great article on antidepressants. http://www.mayoclinic.com/health/depression/DS00175/DSECTION=treatments-and-drugs
Also keep in mind that if you have the ability, it's a great idea to seek the opinion of more than one doctor or psychiatrist on which antidepressant is right for you.