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Action Plan Step #2: Give Your Medication Time to Work

Antidepressant medications do not work overnight. It can take several weeks for the drug or drugs to start affecting your mood. Some depression drugs may start to work sooner than others, but in general it takes time for certain brain chemicals involved in mood to rise. Select depression medications are started at lower doses to see if there are any unacceptable side effects. They are then slowly increased to get to a therapeutic dose if no side effects occur.

Be realistic about when you can expect to start feeling better. But "stay in close contact with your doctor when starting or changing your depression medications," Bruno says.

It's also important to know when to call in a psychiatrist or other mental health specialist. "Most antidepressants are prescribed by primary care doctors today," he says. "If you haven't gotten any better after a reasonable drug trial, seek out a referral to a psychiatrist." Some trial and error may also be involved in drug choice and dosing issues.

Action Plan Step #3: Recognize When Treatment Isn't Working

Know when to consult a mental health professional. Experts share with WebMD the importance of not stopping any medication without first discussing it with your doctor.

"If you are still having significant symptoms after four to six weeks, that is when we will try to maximize the dose, augment, or change medications," says John L. Beyer, MD. He is an assistant professor of psychiatry and behavioral sciences at Duke University Medical Center and the director of the Duke Mood and Anxiety Disorder Clinic in Durham, N.C.

"The goal of treating depression is remission," he says.  What does remission look like for people who are depressed? "We want you feeling and functioning at the level you were at prior to the episode of depression."

The best way to reach this goal is to work closely with your doctor, and make sure to let him or her know how you are feeling as well as what side effects, if any, you are experiencing. If one antidepressant or even several antidepressants don't work, don't get discouraged, he says.

Research shows that people with difficult-to-treat depression who don't get better with a first medication are likely to improve by trying a new drug or adding a second medication.

Action Plan Step #4: Talk to Your Doctor About Your Treatment Plan

Work with your doctor to find the best drug or drug choices for your depression. Don't settle for anything less than remission.

But treating depression involves more than just taking a pill. Lifestyle changes including regular exercise, healthy eating habits, and social support are also part of the treatment plan, he says. When you're depressed, it is often difficult to reach out and ask for help. Talk to your doctor about lifestyle changes that can help you feel better until your medication kicks in.