When the counseling doesn't help, then it's time to consider other options. I read someone's description of depression and it resonated with me...
True depression is when you feel you are dying, and the cure is sitting on a table on the other side of the room, but you're just too tired to get up and get it.
I've been on anti-depressants for years and I honestly believe they saved my life. I'm not telling you what you should do, but just tossing out some food for thought.