I've struggled with treatment-resistant depression and anxiety for over 20 years and I've tried over a dozen different medications or combinations of multiple medications, from both GPs and psychiatrists. GPs would only prescribe SSRIs and SNRIs and finally a very very good psychiatrist put me on an MAOI and lithium when I was in a very very deep depression and that combo helped a lot.
After finally doing pharmacogenetic testing (Genesight) a couple years ago it turns out that there are only about 6 antidepressants that work with my genetic profile and the way I metabolize drugs. None of them are SSRIs, and only 2 of the drugs I had been on were on the list, which in hindsight explains a lot.
Not sure if the genetic testing is an option for you, but I do think for treatment-resistant depression if you can see a psychiatrist rather than a GP, that's worth a try, unless your GP is pretty knowledgeable about more "advanced" treatments and various types of augmentation. In the US, they are generally not.
And of course, talk therapy has been invaluable but getting on the right medications has made the most difference for me.
I hope you feel better soon.