What Is The Treatment Of Depression ?

hi. i wonder if you could advise me. I have been to my gp in the past because i was severly depressed. i was given some medication that didnt help, and saw a therapist who didnt seem to understand. Its mainly because i dont suffer from 'stress' as such, its more like an unbelievable sadness. the medication and councilling where aimed at stress. i felt the therapist was more of a corporate life coach. I try to fight it and i have been able to get over t in the past. But i feel i am getting there agin and i dont know how to stop it. i try all the usual advice of eating well and exercise. But when i feel this way it is hard to do that. It is an overwhelming sadness, where i dont want to talk to anyone and i cry and cry. I feel embarresed to go back to my gp as they couldnt really help me before. (i am a 40 year old woman, single, no children, both parent deceased and otherwise healthy). thankyou for any advice you can give me. Thankyou for your time.