Depression can feel different for everyone and I don't think there are any rules and no hierarchy of suffering.
My DD2 has suffered with severe depression in the past, such that she self harmed and made several suicide attempts, despite bouts of therapy, meds, hospitalisation and so on. We were terrified and desperate for years, not knowing how best to help. FInally she was lucky enough to have Dialectical Based Therapy - very intensive and long term, but it really helped her. Roll on a decade and she no longer feels severely depressed and when the Black Dog bites she now has the tools to cope with the feelings better so she can get on with life.
I also suffered with anxiety and depression for years, but it wasn't clinically severe. Bad enough for me to wake up feeling there was no point to life, and not to enjoy doing anything at all but just go through the motions. I found that hellish enough and felt bitter and jealous of anyone who was happy or content. I also experienced constant anxiety and fixated on obsessive, panicky thoughts which tired me out. I had psychodynamic therapy, CBT and a course of therapy at the Bethlem as an outpatient which I hated, found very unhelpful and actually made me feel worse. I left after giving it my best shot for 9 months and don't regret it.
Finally my psychiatrist and I found a combination of meds which helped me and gradually I improved. I no longer wake under a black cloud, or feel crippling anxiety for no obvious reason. I get bad days when I think it's returning but generally I'm enjoying the respite and ability to feel relatively normal (whatever that is). For me, it was time, and correct meds - I'm in no hurry to quit taking them yet. But too many therapies focus on the past and I found I went round in circles and got nowhere. Don't be afraid to seek alternative therapies - MIND has low-cost options, for instance, and it's also worth joining Anxiety UK and Depression Alliance. Gentle hugs to you, lonniefrances. 