i suffered severe depression and was very reluctant to take anti depressants, i did have counselling though but it took me 3 years to come out the other side. I have been free of depression for about 3 years now and have to keep an eye on myself as its easy for me to slip back, and i have to see my health visitor regularly when i have had my baby as i am a prime candidate for post natal depression.
I would say that you can come through it without pills, but you need something and for me counselling helped, but everyone is different.
Pills dont help everyone, my mum is a severe depressive and has been on anti depressants for 13 years and has had psychotherapy for 18 years and is still not recovered, we doubt she will ever be free of it.
If you have been given pills then i would strongly suggest giving them a chance to work and dont just stop taking them as its the worst thing you can do.