Meds might help your present chemical situation but they're not going to change the mental ruts & habits your brain has formed (eg. I'm stressed, I want a cookie/beer/etc. I made a mistake, I'm so stupid).
Therapy can help you understand and notice those patterns, why they formed, and what you can do to gradually correct them, but you'll have a hard time if you're going uphill against your brain chemistry.
This book really helped give me a framework for understanding the exercise part of it: https://www.amazon.com/Power-Full-Engagement-Managing-Perfor...
And of course, like physical pain, in some situations mental illness is a signal the body is sending that something in life isn't right. I've had some serious depressive episodes evaporate as soon as I broke off a toxic relationship (personal or professional).
Happy to chat more in private if you want.