Medication is just one tool used to combat depression and other mental health issues. It is not uncommon for medication alone to not be very effective, just like it is not uncommon for therapy/counseling to not be effective when used on its own.
Also as far as medication goes it can take a while to find the right medications at the right doses.
It often takes a combination of medication and one or more types of therapy in order to successfully fight mental illness.
My best advice to you is to speak with the prescribing doctor and be very open and plain speaking about what is going on and if you are not in some kind of counseling and/or therapy program to get started in one. If you are in counseling already then talk with your counselor about what is going on, what you think you might need, ask about what else you can try/add, etc.
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