When we are depressed, its as if you had a pair of very dark sunglasses on. Not only does everything look dark, but you inevitably focus on the darkest parts, which in turn, worsens your depression and disenchantment with life. It's a loop. Well, more like a downward spiral. You get the point.
I don't know your situation, of course, but I would really urge you to exhaust all the options of treatment that you can: try different therapists/psychiatrists, request a change in prescription, explore new therapies. Some people also find a small light when they explore their spirituality.