Is there treatment-resistant depression?

Yes: But the definition is usually failure of 2-3 different treatments. Treatment-resistant doesn't mean incurable. Very often people have gotten multiple antidepressant trials without much benefit, but they were all similar medications or too short trials. There are many strategies and combinations as well as ECT that often work when others fail. See my book, psychiatry in techno colors.

Yes: It often requires more than one medication. The chances of getting complete resolution of symptoms on one drug is 30%, insomnia, daytime fatigue and pain are the common remaining sx's. If those aren't considered into your treatment plan, you may be changing to different single agents. Using more than one medicine may be key; modafanil for datime sleepiness can be a great adjunct, Abilify (aripiprazole) good.