Depression - Illness or Symptom?

Is Depression the illness or is it a symptom of something more? That is the question that I have recently begun to ponder.

If one is compliant with medication schedules; eating a healthy diet; increasing physical activity; and participating in therapy or support groups, yet finding no relief from depression symptoms, then is depression what you should be treating or should one look for more underlying causes?

The symptoms of depression mimic that of sleep deprivation. Depression also often co–exists with other serious medical illnesses such as heart disease, stroke, cancer, hiv/aids, diabetes, and Parkinson's disease. Studies have shown that people who have depression in addition to another serious medical illness tend to have more severe symptoms of both depression and the medical illness, more difficulty adapting to their medical condition, and more medical costs than those who do not have co–existing depression.

What, then, is the right approach?