Related to Ocd and depression. Ll wrk?

Last year I was diagnosed ocd ( harm obession). Advised to go for ERP. Later on I had image disturbance, violence, sexual, contamination obession I managed with erp. 80 ℅I managed. Then I had occasional phantom smells it was transient and I had insight about phantom smell.suspected olfactory aura. Took MRI there was no temporal lobe abnormalities.. I am getting headache in occipital region then in between eyebrows sometimes with nausea or vomiting. Recently I had doubts over memory My therapist told to review Psychiatrist for medication. Due to corona issue I couldn't anyway I managed with erp. Since last month I has problem with working memory, misplacing things, forgetfulness, problem with attention. Last week i met psychiatrist.. He told that I have mild depression becoz depression can cause cognitive dysfunction. He told to continue dialectic behavioral therapy along with erp or medication. I have choosen therapy. absent mindness ll be there in depression?? if so therapy ll wrk?