Hi, I've Been Suffering With Depression For Quite A Few

Hi, I've been suffering with depression for quite a few years now! I have regular visit's with my psychologist and GP but they keep prescribing medication that does very little to ease my suffering. A friend recommended asking about valium or xanex. He told me its far more effective but when I asked my doctors they quickly dismissed the idea! I was wondering if you could offer any advice for me. Thanks