Thanks for the extra information.
The main treatment approaches for Depression are anti-depressant medication, Cognitive Behavioral Therapy (CBT) or a combination of the two. I can recommend this excellent website here as a starting point for learning more about the treatment of
The recommended sequence of treatments to try is:
1) Self-help using a CBT based program
2) CBT with a therapist
3) CBT & an antidepressant medication (usually a Selective Serotonin Re uptake Inhibitor)
You can confirm that this is the correct order by checking these treatment recommendations here.
So, as you can see you haven't been provided with an important part of the recommended treatment yet - CBT. CBT is a psychotherapeutic approach that aims to solve problems concerning dysfunctional emotions, behaviors and cognitions through a goal-oriented, systematic procedure. Treatment is technique driven, brief, direct and time-limited (normally 10-12 sessions). CBT is used in individual therapy as well as group settings, and the techniques are often adapted for self-help applications. I would strongly encourage you to consider CBT as I would expect you get great benefit from this approach.
Start by working through this excellent CBT based self-help program here. It should take several weeks to complete, is completely free and will teach you everything you need to know about Depression and what you can do about it. Alternatively, you could take a look at a book which will teach you some introductory techniques for dealing
with Depression at home. I can recommend a well known manual titled Mind Over Mood and another book titled The Cognitive Behavioral Workbook for Depression; A Step by Step Program as good places to start. You can find them both here.
If you find you aren't making the kind of progress you would like using a self-help approach I would then recommend you consult with a CBT trained therapist. CBT is usually offered by Clinical Psychologists (although not exclusively) and you can contact the American Psychology Association (APA) for assistance with locating a Psychologist; take a look at the APA locator service here. You can use this to find Psychologists in your area and there is a phone number you can contact if you want a referral arranged for you. Also, take a look at an article published by the APA here. It's an interview with a senior Psychologist and covers some of the things you should consider when you looking for a Psychologist.
You should also consider requesting a second opinion on your prescribed medication regime. Antidepressants are not intended to be used over long periods of time and it is actually quite common for the efficacy to reduce over time. It is standard practice to seek second opinions and your Psychiatrist should be happy to arrange this for you. Has your current Psychiatrist provided you with the reasoning behind the decision to use an anxiolytic in addition to the Zoloft a this time?