History Teach posted some great information.
From a personal perspective, I have fought with depression and alcoholism myself. I have heard well meaning people in AA state that all one needs is to work the program of AA to relieve depression, anxiety, etc.... But my experience has been that the program and Steps of AA are a great tool for helping ease guilt, resentment, situational depression, etc... But for depression like I have which is a chemical depression (my body does not produce chemicals in the right amounts to keep my brain out of depression) so I do take anti-depressant medication. I have taken it for nearly 4 out of the nearly 7 years I have been sober.
If you are unsure what type of depression you have then error on the side of caution and listen to your doctor, take the meds as described. Contrary to some people's beliefs anti-depressants are not happy pills, they do not make people feel elated, or high. They simple allow the person to have the right proportion of brain chemicals present to feel "normal."
There are several indicators for me that my depression is chemical.
* when my depression is getting bad, I stop dreaming at night. This may or may not be true for everyone, it is just my experience.
* When I am in a chemical depression it is quite clear to me in my mind that something is quite wrong. For example, when my brain chemicals are not right I will wake up in the morning with the first though running through my mind being "put a gun to your head" but another side of my mind screams "that is insane." This has occurred when everything in my life has been great and I have had every reason and then some to live.
* When I am on the anti-depressants my anxiety is reduced, I sleep better, I dream, I don't have the suicidal thoughts, etc....
* Yes, there are times I am down because someone has hurt my feelings, or I am having a bad day, or any number of things but I can clearly tell the difference between this down (situational depression) and the insanity of chemical depression.
Please understand that not everyone in AA has experienced chemical depression and for someone who has not experienced it to try and understand it is much like getting a normal drinker to understand the alcoholic. It is very difficult. Don't let someone who has not experience with chemical depression convince you that all you need to do is work the Steps better and all will be great. AA has helped me substantially and has been an asset in my life. But it can not fix the chemicals in my brain anymore than it can cure me of diabetes or cancer.
Take care and please don't let some well meaning person with no experience guilt you into doing harm to yourself. Not taking anti-depressants can harm you.