Were you getting the right kind of therapy? Many people do very well with CBT. Have you tried any meds to help with your depression?
I found with my own therapy that we can go to a therapist and still not do the work that is needed with recovery and depression. Did your therapist give you exercises and tools to use on a daily basis. Did your therapist know that you were not progressing in the therapy, or did you just leave without asking for another therapist. Recovery is challenging but is very rewarding. Give a therapist another chance and tell him/her what you wrote here.
Wishing you the very best