Lots of good responses here already, will just add a few things not yet mentioned:
1. I've been on various SSRI's for 10-15 years. For me, and for some percentage of the population that takes them, my body gets accustomed to the meds and so I have to up my dose periodically and then switch to another one when my dose gets too high. Most of the ones I've been on have "dampening" sexual side effects. Other than that, they have all worked for me and have had few side effects.
2. IIRC you're about to get engaged? If that's right, I encourage you to make sure your fiance understands what's happening (or that you're OK with keeping him in the dark). Also, those side effects mentioned in (1) may be relevant to him.
3. Aerobic exercise and sunlight / being outside help for me.
4. "Deciding to just feel better" has never worked for me.
5. Introspection, for me, has been what I needed. It's sort of like talk therapy by myself for myself. I haven't had good luck with counseling / CBT, but maybe that's just because I'm usually not very trusting and I can be very stubborn.
6. Also, the ability to sort of "watch" myself and see what works, what doesn't, what patterns there are, has slowly over the years helped me cope and/or figure out more coping mechanisms. My depression has a seasonal aspect to it as well, and part of my mechanism is just knowing that from December through March it's going to be a little tougher.
7. If you're averse to prescription meds but OK with OTC/herbal stuff, I used St John's Wort for a while. It's weak compared to prescription stuff, but it is helpful.
Good luck!!! Feel free to PM me any time if I can help at all.