How long have you been taking the meds for? I think that depression doesn't just go because of meds, its a process we need to go through. I had therapy and that finally got me to understand the root of my depression and taught me techniques to counter act it. But I am bipolar and it does occur quite a lot despite this.
I've been taking the meds for about a year and yes I've been doing therapy for 4 years now did CBT for the first time two years ago then I fell into a huge depression again. I'm doing CBT again now but I don't feel it working.
May be a good idea to get your meds reviewed by your doctor.
Therapy is useful though I believe you have to be stable enough for it to be useful.
We are all different but I found meds were what got me through