Psychiatry and working steps in AA are forms of therapy. They may work for some people who are depressed, but not all. Depression used to be seen as something that could be helped by older forms of psychotherapy, but it's now more often recognized as a physical chemical imbalance that can be more effectively treated with drugs. My guess is that milder forms of depression may benefit from psychotherapy, but I've talked to a few patients diagnosed with depression who believe drug therapy is the only possible recourse. Is there a happy medium between the two types of approaches depending on individuals? I don't know. Generally, the medical community is now gravitating towards drug therapy that directly restores a chemical balance, or maybe mimics the balance.
My father suffered from depression. He has long since passed away, but during his lifetime, I watched him through one of his month long stays in a mental ward where he received electroshock treatments with marginal results. At best, it seemed to me like electroshock taught him to stop acting depressed, but he still struggled. After drug therapy became the norm, he went on drugs and apparently he received some relief, but I could never get into my father's head to understand what was actually going on inside him.
I have known other people suffering from depression who were on drugs who seem to be doing very well. There are probably better drugs out there now that could have helped my father much more.
My ex took antidepressants after a long battle with cancer that obviously took a toll on her mental health. I asked her how long she thought she might need antidepressants, and she said, "I don't care. I feel better than I ever have on antidepressants, and I'll take them forever if I have to." I am now prone to believe that drugs are the best approach, at least for most sufferers.
There's nothing wrong with doing the twelve steps or some secular derivatives of them if they are helpful. As a cure for depression, I wouldn't depend on twelve steps or psychotherapy. I've met many diagnosed depressives in AA, and I think depression was a factor in their alcoholism, more than the opposite view that alcohol made them depressed. I view the two conditions, alcoholism and depression, as two distinct illnesses, each making the other worse. I doubt that the same treatment for both of them is the best course of action.