I'd say that's how I feel when I'm down. Like nothing is right or good and it'll never be any better.
I think you're doing the right thing, but it never hurts to try lots of stuff. Try some self-help books too, talk to your preacher too. Sometimes you need medication, sometimes you just need support. Sometimes you need a combination. My doctor said she doesn't expect me to be on anti-deps forever, just until I've been able to get back to normal for a while and deal with my life in a normal fashion, then ease back off the meds.
If you feel like your doctor is not helping, I'd suggest trying a different doctor.