Combos. Often if one medication is not effective for depression, combining medications from different classes may be helpful. (venlafaxine + Mirtazapine + bupropion for example) and make sure the doses are maxed out. Other augmentation options are lithium, Cytomel (liothyronine) (thyroid hormone), and stimulants. But if you've tried everything, consider tms or ect. Find a psychiatrist at an academic center.
No one pick. There isn't the be all end all of psychiatric drugs out there. If there was, that would be the only one we'd use. Everyone is different and everyone responds differently to these drugs. Certain classes of medication are for certain diseases, but you'll need to keep trying different classes until you find the right one or the right dose or combination. A psychiatry referral may be in order.