Should your thyroid be checked before beginning medication and/or other therapy for depression?

Although it is: Not mandatory - it is certainly a very good idea.

Yes: You should have a good general medical workup, including a TSH test (thyroid stimulating hormone), to rule out possible medical causes for your symptoms. A variety of medical conditions (not just thyroid) can cause symptoms resembling those of depression. It is just common sense to rule them out, as part of a comprehensive evaluation and treatment plan.