It depends on the individual, of course.
One person I know very well was helped only by electro-convulsive shock therapy.
ECT absolutely works, it has a stigma from too many Hollywood movies. It is an amazing thing, it truly helps the severely depressed. It is not the horror that is portrayed in film.
When I worked in the hospital, I was sometimes pulled to the psych. unit when their medication nurse called in sick. ECT does work for some and its not the horrible treatment you see in the movies...it does work in some cases, others not so much..