Yes, go to the doctor. A doctor can refer you to a therapist or psychiatrist and can help with the biological aspects of depression as well as prescribing medicine if necessary. They can recommend dietary changes, exercise routines, and other lifestyle changes that may help with depression. A referral from a physician may also lower costs for therapist or psychiatrist visits depending on any insurance you may have. If your doctor jumps straight to trying to prescribe you medications and ONLY wants to do that, I suggest finding a different doctor if possible.