There is research that supports the efficacy of antidepressant medication for depressive symptoms.
There is also research that reveals that symptoms of mild to moderate depression respond well to psychotherapy.
We have the most research, however, that supports the notion that recovery from a major depressive episode is most effective with the combination of antidepressant medication and psychotherapy.
Reference: J Consult Clin Psychol. (2008) Manber, R., Kraemer, HC., Arnow, BA., Trivedi, MHl, Rush, AJ., Thase, ME., Rothbaum, BO., Klein, DN., Kocsis, JH., Gelenberg, AJ., Keller, ME. 76(3):459-67