I have read the Sam-e works for some people with minor depressive episodes but for major clinical depression I feel you would do better by checking with your physician.
There are many meds out there as well as therapy is often a wise choice.
Welcome to HealingWell and the Depresssion Forum.
I tried to go the "natural" herbal route. It did not work well for me. I never tried sam-e but I did try St. Johns Wort, 5-htp, nerve herbal blend formulas, many variations. I finally gave in and went to my physician and got started on a low dosage of Celexa. It takes a while to work but I am feeling better everyday. I had a very severe reaction to a medication in January and was very leary of going the pharmacuetical route, but I guess at this point I do not have a choice if I want to feel good. Be careful with herbal formulas, they are not always what they claim to be and how do you determine the dosage properly? I think they may work for some people, but not on major depression or bipolar.
Hope things get better for you soon.