Therapy helps depression.  If you experience depression, please seek help.
From Medscape Psychotherapies for Adult Depression: Recent Developments by Pim Cuijpers, Curr Opin Psychiatry. 2015;28(1):24-29.

Summary Psychotherapies are essential tools in the treatment of adult depression. Randomized trials have shown that these treatments are effective, and by focusing on key issues, such as chronic depression, relapse, and scaling them up, psychotherapies contribute more and more to the reduction of the disease burden of depression.

Introduction

 In the past four decades, 400 randomized controlled trials have examined the effects of psychotherapies for adult depression.[1] Psychotherapies, and especially cognitive behavior therapy (CBT), interpersonal psychotherapy (IPT), and behavioral activation therapy (BAT), have become major treatment options for depressive disorders, and are included in most guidelines as first-line treatments.[2,3] What have we learned from these 400 trials? And what are the most important recent trends and developments in this field of effectiveness research? In this study, I will focus on these two questions.

What Have We Learned From Research on Psychotherapies for Adult Depression?

The 400 randomized controlled trials examining psychotherapies for adult depression that have been conducted since the 1970s have shown that several types of psychotherapy are effective in the treatment of depression, including CBT,[4,5] IPT,[6] BAT,[7] problem-solving therapy (PST),[8,9] nondirective counseling,[10] and possibly psychodynamic psychotherapy.[11] These studies have also shown that these therapies are equally or about equally effective in the short term,[12] that they are about equally effective as antidepressant medication in the short term, and that the combination of psychotherapy and antidepressants is significantly more effective than either of them alone.[13–15] Psychotherapy without continuation treatment has an enduring effect following termination of the acute treatment, that is still significant 1 year after randomization,[16] and that is at least as effective as continued treatment with antidepressant medication.[17]

Most studies on psychotherapy for depression have focused on adults in general, but there are also several dozens of studies showing that these psychotherapies are equally effective or about equally effective in older adults,[18] in women with postpartum depression,[19] and in depressed patients with a comorbid somatic disorder, such as heart disease or cancer.[20] The effects of psychotherapies in depressed inpatients are somewhat smaller than in outpatients.[21] They are also smaller in patients with chronic depression and dysthymia, and in these patients psychotherapies are probably less effective than pharmacotherapy.[22] The effects of psychotherapies are also modest in depressed patients with comorbid alcohol problems, although they are still significant and also have some effects on the alcohol problems.[23] Psychotherapies are effective in the treatment of patients with subclinical depression, who do not meet full criteria for a major depressive disorder but do have clinically relevant depressive symptoms, and in these patients psychotherapy may prevent the onset of major depression at follow-up.[24] There is no evidence that psychotherapies are less effective in severe depression,[25] or in ethnic minority groups.[26] The increasing number of trials in non-Western countries shows that psychotherapies are also effective in these countries.

 Individual psychotherapy may be somewhat more effective than group psychotherapy, but the quality of this research is insufficient and it is not clear if this difference is clinically meaningful.[27] There are no indications that guided self-help and supported internet-based treatments are less effective than face-to-face treatments.[28,29] If the intervention is not supported by a coach or therapist, the effects are, however, considerably smaller.[30] There are no indications that therapies with more sessions result in larger effects.[31]

By far the majority of studies have examined the effects of CBT and to a lesser extent IPT and BAT. Although there are no indications that other psychotherapies are less effective than these treatments, these therapies are well supported by evidence and should be included in treatment guidelines.[32] Unfortunately, the effects of psychotherapies have probably been overestimated because of publication bias,[33] and the low quality of many studies in this field.[34]

Recent Trends and Developments: New Therapies

Since the first trials were conducted in the 1970s, every few years ‘new’ psychotherapies are discovered. These new therapies claim that they are more effective than the ‘old’ or ‘traditional’ therapies. This has resulted in dozens of different types of psychotherapies. In the field of depression, however, there are no indications whatsoever that such new therapies are more effective than longer existing therapies. Meta-analyses of studies directly comparing different psychotherapies consistently show that there are no or only small differences between therapies.[12,35] If a new therapy claims to be more effective than existing therapies, it should be assumed that the difference between the new and the existing therapies is small. In order to find this, large sample sizes are needed.