It's a psychological issue mostly; most professionals (even psychologists) don't deal in the area of psychology but in the mental (changing the way you think, etc.) and physiological (meds that affect your body but not your depression), so most people don't get much relief from psychological issues. I'd still say try to see a counselor. There's always a reason for depression or OCD, and finding the reason is the first real step to a cure.
when you come to reality you have misdiagnosed yaself.
Some mental abnormalities are not truly illnesses, the rest are either caused by the starvation, toxification, physical abnormality, deformity or injury in the brain or hormone secreting organs and or the infestation of spiritual parasites. Turning to GOD fully will dispel the spiritual parasites and living a righteous lifestyle is the best treatment for the rest as well. I went from psychotic and severely depressed to sane and managably depressed and its still getting better.
If meds don't work, the only thing you can do learn to live with it, and don't think too much about it.