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It can take up to a month for antidepressants to work fully. In the meantime, they can sometimes make you feel sedated and/or "spacy". This can be hard to put up with when you're already feeling depressed. However, once the antidepressant takes effect, the improvement in mood usually makes it worth the wait. If your meds make you sleepy during the day, try taking them at bedtime--it can help you sleep.
If you've been on the medication for longer than a month, and you're still not feeling better, its time to talk to your MD. There are many brands of antidepressants, and a person can have a bad reaction to one, but a totally better reaction to another type. Although some general MDs will prescribe antidepressants, I think it's better to see a psychiatrist who is more likely to be keeping up on the new developments and research. You may also have some anxiety that could be helped with medications and therapy. A psychiatrist is more likely to be aware of the nuances of making a diagnosis.
Studies have shown that antidepressants are most effective when combined with therapy. Healing the wounds that feed the depression can make a big difference in your enjoyment of life.
Please, don't let this feeling bad go on for longer than a month without seeing your MD.
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