Treatments for Depression. If you are diagnosed with depression, here's some good news: Excellent treatment options are available to you. Many people use a combination of treatments, such as medication and psychotherapy.For depression that doesn't respond to standard treatment, non-drug approaches can be effective, either alone or used with other treatments. Learn more here about the most common approaches to treating depression.here are now many different antidepressants that your doctor can choose from. They include: 1  Selective serotonin reuptake inhibitors (SSRIs). 2  These common medicines include Celexa (citalopram), Lexapro (escitalopram), Paxil (paroxetine), Prozac (fluoxetine), and Zoloft (sertraline).