There are basically two kinds of depression: one is physically-based and needs psychiatric intervention.  The other is psychologically-based and can benefit from psychological or counselling intervention.

If your depression is constant, or if it comes and goes according to a time-related cycle, then chances are that it has more of an organic basis, and you need the help of a psychiatrist (a medical doctor who specializes in psychological problems and who can prescribe medication).  Prescribed medication is very often an important part of treating this type of depression.

If your depression gets better or worse according to your living or working environment or changes according to the events in your life, chances are that psychological or counselling intervention would be beneficial for you.  Often in such situations, people find that they have a serious difficulty that they have been trying to resolve for some time, but with little success.  The longer they look for resolution but fail to find it, the more helpless, then hopeless, then depressed they begin to feel.  This is common, for example, in long-term situations that cause disruptions in our ability to be successful socially or occupationally, or to find the happiness that we are seeking.  Post-traumatic stress is a good example here.  Often a person with post-traumatic stress has tried everything they can to remedy their flashbacks or intrusive thoughts and feelings, but without success.  The more we try without success, the more depressed we feel.  In situations like this, even though we feel depressed, we don't need help for depression - instead we need help resolving the other situation (for example, the PTSD) that we have tried and failed to manage.  In my experience, when we can successfully manage our root discouragement, our depression disappears quickly and automatically.