I can attest to that - at least if it's mild depression. About 10 years ago I finally decided to ask my GP about it, and she prescribed Zoloft. I took it for six months. I felt great, however I always new I didn't want to be on anything permanently. Stopped taking it after six months, and I can tell you that it definitely changed something in my chemistry permanently.
I still get depressed mildly every now and then, but I know how to get myself out of it alot quicker than I used to.
Just a personal anecdote from a lurker. : )
I had a pretty substantial struggle with depressive episodes for a good part of my life and went through the mill with drugs and talk.
There was one occasion when I was completely convinced that one of the drugs dramaticly relieved the depression. Other times, it was trying one and then another. Of course, Paxil is among those that I tried and it is scary stuff, IMO. These drugs definitely do something to your head although, in my experience, it is usually not relieve depression.
The rest of the story: I seemed to age out of it. My life, even now, is not filled with tangerine trees and marmalade skies. But I muddle through and rarely now conceptualize my dreary days as "depression."