There are a lot of other options for Depression. Most people utilize Medication and therapy because they seem to be the most effective.
There are natural alternatives, (never worked for me, but some people swear by them)
There is also Eastern Medicens like accupuncture for depression. (not sure how effective that is.)
There is also the option of VNS implant surgury for severe depression. (while proven to be effective, the cost of the implant surgury is around $40,000 and insurance usually won't pay)
There is also ECT. (Not something I would subject myself to, but for some it works)
I think with meds, it just depends on if the benifit your getting from them out weighs the dissadvantages of the side effects. In my case my Depression is much worse than the many side effects I get from them so it's worth it for me.
If the side effects are worse than your depression then I think meds might not be the best treatment for you. It's kind of a double edged sword I guess. Some people get really bad side effects from this stuff, so I can understand why it's not for everyone.
I hope you find a treatment that agrees with you soon.