Should I make an appointment with my pcp or my psychiatrist? I want to try antidepressant.

See the expert. Since you already have a psychiatrist, you must already have important emotional issues. Many times these are treated with drugs as well as counseling. If an antidepressant is to be added, drug interactions must be considered. Your psychiatrist should be experienced in multidrug treatment and would more likely be aware of drug conflicts and side-effects.
Psychiatrist First. With the advent of the ssri medications in the late 1980's, primary care physicians began to prescribe these agents more and more. Due to their relative safety it only seemed natural. But psychiatrists are the true experts when it comes to understanding the intricacies of these medications. If you are under psychiatric care or have access to a psychiatrist use the expert.