Last week I read about a couple who lost their daughter to suicide after she "stuck with a single therapeutic mode and her prescribed medications even though the combination seemed to just make her worse". Her conscientious adherence to a single therapeutic regime even when it wasn't working reminded me of the importance of changing or supplementing treatments when one isn't working.
In my experience, patients are too hesitant to change treatments mid-course if progress stalls. There's a misconception that recovery requires holding fast to any treatment prescribed, and it's exacerbated by the tendency of psychiatric patients to blame themselves for not getting better because they aren't "trying" hard enough.
Effective treatment does require time, patience, and persistence (often, effects aren't seen for a couple of weeks), but sticking with an ineffective treatment indefinitely diverts resources from alternatives that may work better. In my case, I stuck with (and my parents paid for) a vitamin and nutrition program long past the point at which more serious medical intervention was necessary.
Also, you may hit upon a good therapy but at the wrong time. That was the case when I first tried cognitive behavior therapy (CBT). I was so depressed--and my brain was so out of whack--that I couldn't even begin to pull out of the depression without biological intervention. Trying CBT before medication was discouraging. It made me feel like I was "failing" at therapy, and my lack of progress made me worried that I would never get better, regardless of treatment.
Finally, some treatments can exacerbate depression. SSRI medications that induce suicidal thoughts in a small percentage of patients are the most obvious example. When this is the case, diligence can be deadly. It sounds like common sense, but if your treatment is making you worse, you should STOP that treatment. Every brain is different. Don't assume that a medication is right for you just because you know another patient who experienced its benefits.
It's true that certain treatments are supposed to be uncomfortable. The standard treatment for phobias, "exposure therapy," is a perfect example of a treatment that involves purposely leaving your comfort zone. Moreover, opening up to a therapist or adjusting to some medications may be difficult at first. However, if the treatment is ineffective, then you need to take action. An unwavering commitment to getting well is necessary, not an unwavering commitment to one treatment modality, one doctor, or one therapist.
Most important, do NOT let failure at one mode of treatment convince you that you won't get better. Sometimes people who don't response AT ALL to medications respond well to therapy, and vice versa. Also, researchers are developing new therapies every day. Deep brain stimulation, transcranial magnetic stimulation, and vagus nerve stimulation, are all examples. The odds are on your side--most people eventually find a treatment that works.