I'll just add in here, that CBT really is effective. Like in my opinion it's far better than counseling or even psychotherapy. If you really want to sit down with a shrink and therapist and work through all your past to find out where the route cause of all your pain comes from, then do that, trust me I did, and It's a load of balls. Counseling isn't effective enough, you practically get "How do you feel about that? how does that make you feel?" over and over again, they can't really offer any solutions, therapy is a step up, it's more effective than counseling but it really is just working through all your feelings, which might appeal to you if you have the time and patience.
Sometimes I walked out of therapy thinking, right, i went back in my mind to dark places, talked about them, don't really feel any better about them, and plus I'm intelligent enough to KNOW ALL the route causes of my pain and where they stem from. CBT you walk out thinking, Man, how could I get so worked up over that? It's only me thinking those people noticed that or were looking at me, and then I went and drank myself silly that night and no wonder i felt so **** the day after, man, i'm noticing where I'm going wrong here each new appointment, this **** works!
In terms of meds, I got side effects from them all, and I took Citalopram, Sertraline, Fluoxetine, Atomoxetine, Venlafaxine, Trazodone, Mirtazepine, Buspirone, Propranolol, Ritalin, Imipramine, Lofepramine, Diazepam, Seroquel, Olanzapine, Stelizine, like loads!
you have to give the Antidepressants at least 6 weeks for each before you see a benefit. At the start they did help me, but to be honest, a few of them actually made me really sick mentally, it had a serious backlash effect which i wont go into, bottom line, I'm off them now and really can do without them because exercise and diet and cbt alone are effective but they aint as easy as popping a pill. it's really down to what you want and how prepared you are to make changes!