For what it's worth, Sertraline helped me, but then I was just extremely anxious about everything (to an unreasonable level) rather than your traditional depression.
It's horses for courses and what works for one might not for another. Unfortunately I don't think GPs have the time or specialised knowledge to quickly get it right. It's very much "try this and tell me if it works."
I think what Secret Fox said about vitamins makes a lot of sense. Modern life deprives the body of a lot of things that in the past we received naturally.
Decent diet, don't drink too much, exercise, getting outside are all major contributions to good mental health that the NHS can't prescribe (though good doctors will tell you this).