I've tried counselling on and off all my life and it never helps, all they do is relay what I tell them back to me which isn't helpful because I think about it enough anyway. I have never seen a psychiatrist, they're meant to be a pain to get hold of in the UK.
I'm sorry to hear you're having such troubles. I've also had trouble with depression for a long time and have seen psychotherapists on and off for 15 years. I've seen a lot of different therapists over the years, some of whom I thought were nice, but didn't know there stuff enough to help me, while others were just idiots. Luckily, I think I may have finally found one that is very smart, grounded, kind, and I think he even practices what he preaches. He's not just a cold mirror that bounces every question and comment back, but genuinely cares about me and his other clients.
Because of a lack of progress he suggested I talk to a psychiatrist about drugs. I tried a few one at a time (the most popular ones mentioned on this thread) which didn't help appreciably and left me with the same side effect - difficulty cumming (and decreased libido). The latest one I tried was Cymbalta and after giving it a try and realizing it wasn't helping much I tried to go off (with Dr. approval), with terrible withdrawal symptoms (bad enough to keep me home from work) - which the psychiatrist (not my therapist) seemed totally oblivious of.
I eventually got off it and right now I'm still in therapy but without any drugs (though I'm also in group therapy which is another option you might try).
I hope you keep trying with psychotherapy there's got to be someone out there that can help you. As for the drugs all I can suggest is that you try to weigh the benefits against the side effects (after talking to you Dr.) and use that to decide whether to stay on them.
Good luck.
Ask if you need help.