You must start with Psychotherapy by consulting a Psychologist. If you have been diagnosed with depression I am sure there are some repetitive negative thoughts which need to be taken care of , so psychotherapy will give you a space to talk openly about your problem without being judged. Moreover it will also help in eradicating your negative thoughts from the root.. So go ahead and meet a Clinical Psychologist, combination of medication and Psychotherapy will definitely make you feel better. Moreover don't change doctor's very frequently it's a slow process but if you stick to one particular treatment you will benefit faster.