There's nothing at all about
depression that relates to "crazy"!
And .... if you don't start the anti-depressants, you'll never know whether or not there are side effects. SE's are not universal. They vary by the person. You'll also keep being in a depressed state without trying the anti-depressants.
If you're already "talking thru" anxiety with a therapist, why would it be more difficult to also talk about depression?
Without trying both of the above, you'll just keep wondering ... and nothing is going to be solved or get better .... so why not try both!
R & G