Atypical antipsychotics are useful if there are psychotic symptoms. When depressive symptoms are not improving, first step is usually to increase the dose of antidepressant. If that does not help, then add another antidepressant or switch to another antidepressant. If this does not work , then augment with agents like thyroxine, lithium etc. Somatic treatments like ect, rTMS also used. Combining psychotherapy with antidepressant helps at times.
Next Steps
Discuss the above options with your treating psychiatrist