I've been on one lot of antidepressants for 6 months, now I'm changing to another lot because they just didn't work. I had no side effects, really. Or at least no more problems than I usually have. In fact, I noticed that instead of my depression improving, my anxiety improved.
When you go to the GP, normal practice is to start you on the lowest possible dose and try that. Most kick in within a few weeks. If it's having no effect after a few months, they tend to put up the dose. The idea is that you should have the lowest possible dose that's still effective.
Talk to your doctor about your concerns with side effects: I'm sure they'll give you some advice.
Use the suggested website from earlier, NHS Choices, and also patient.co.uk. Both give loads of informations.
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Depression, GAD, Social Anxiety and unidentified mental health issues too
And now OFFICIALLY DIAGNOSED!