As a sufferer of a major depressive disorder for roughly 8 years, and seeing 3 counsellors at one specific time in my life, I never found it to be effective in aiding my recovery. This being said, even though it was not effective on my mental health, it's a matter of the individual in themselves. People tend to find certain kinds of therapy better than others, and roughly 1/10 people are unaffected by all forms of therapy.
Each counsellor spoke with me about different kinds of therapy which I could use, including cognitive behavioural therapy, a form of hypnosis and one had attempted free association to find any subconscious issues leading to my current state. One counsellor requested for me to keep a record of ways in which I coped when suffering with one particular episode, however the list was very short.
Despite the negativity of the post, generally, you should seek counselling and take part in it for a while. If you feel it to be ineffective to your recovery, there's always an option to discontinue the programme. Other forms of recovery could be using drug therapy and cognitive behavioural therapy, but those are all decisions for you to make.
I wish you all the best in your recovery.