It's going to depend. I feel like there are often two sorts of depression:
Really sit down and think about it. Is there a part of your life that you're really unhappy with? Looks, career, relationships, something else? If so, is there something you can do to try to correct that? Do you have a support network who can help keep you motivated and striving for that goal?
If you can't really pin it down to any one or combination of things, then it might just be a straight up chemical depression. It sounds like you have a decent job. Therapist sessions aren't cheap, but if you're having suicidal thoughts, then you have to ask is possibly saving your life and coming out a happier and more fulfilled person worth the expense? ((That was rhetorical, It is, don't let your depressed state say otherwise.)) A therapist can help you work out whether it really is a chemical depression or whether there is a core thing that might be causing it.
They can then refer you to a psychologist, if they aren't one themselves who might be able to recommend a drug regiment to try to help get you out of the worst of the funk.
I can only speak from my own experience when I say that I had a bad case of depression stemming from career and educational failures, and it was a rough 6 years until I finally had the willpower to get through it and turn my life around, but it is possible to get through it, and that's the one thing you always gotta hold on to. That at the end of the day, you ARE capable of changing your circumstances, whether it be from fixing what makes you unhappy or from working with a doctor to correct an imbalance in your body that you can't control.