Depends on whether what you're experiencing is actually depression, and whether the cause is a neurochemical imbalance in the brain. Even if you ARE suffering from clinical depression, the cause could be external, nutritional, or it could be caused by a physical illness like hypothyroidism, anemia, or heavy metal toxicity. In any of those cases, antidepressants would be not only worthless, but possibly harmful. (I recently wrote an experience report on Prozac in Trip Reports you should read...it's called "Quitting Prozac-The Worst Kind of Withdrawal". It's just one person's experience, but you'll find that many others share my thoughts on the subject.)
Maybe antidepressants are exactly what you need, but be advised that they're nearly worthless without some kind of counseling/psychotherapy to help you work out your problems. Medication is a temporary fix, not a permanent solution, and it doesn't work for about 60% of people who try it. If you do feel you need medication, see a psychiatrist, not a physician. Psychiatrists are trained in treating mental illness, general doctors and physicians aren't.