Don’t expect it to be easy.
The nice thing about medication is if you forget to take a pill today it is very easy to take one tomorrow. You can also stop when ever you want. Best case, they are a crutch that helps you until you can walk again. Worst case, you’ll live an undepressed life with them.
If you self-treat in the gym, it can be very difficult to haul your sorry ass back there if you miss a day.
> I have tried therapy
The worst thing about therapy is finding a therapist. It’s an awful process that one needs to do in a time in your life when you are not capable.
I don’t know you, but you asked for internet stranger advice: mine is to keep looking for a therapist you like and have them be part of your healing process together with medication. Don’t stop seeing a therapist just because you start to feel good when the medication kicks in.