Therapy, or psychotherapy to use its full title, has many different forms. Information about each type can be found in the section Psychotherapies. Talking therapies help patients gain insight into and resolve their problems through verbal give-and-take with the therapist. Behavioural therapies help patients learn new behaviours that lead to more satisfaction in life, and "unlearn" counter-productive behaviours.
Research has shown that two short-term psychotherapies, interpersonal and cognitive/behavioural, are particularly helpful for some forms of depression. Interpersonal therapy works to change interpersonal relationships that cause or exacerbate depression. Cognitive/behavioural therapy helps change negative styles of thinking and behaving that may contribute to the depression.
Choosing a form of psychotherapy, or even a psychotherapist within that form, can be difficult. It may be best to start by consulting your doctor, and asking for a referral. Your doctor may also be able to advise you whether this therapy will be available without cost under medical insurance, or in the UK under the National Health Service.
In many cities and countries, there are therapy referral services, where you can chat to someone about your issues, then have them recommend you to an appropriate therapist in your vicinity. Search on Google under "psychotherapy referral", plus maybe your city name. For those living in the USA, there are a number of therapy referral services listed on the Mental Health America website.
Therapy is a significant time investment, and perhaps cost as well if you are paying for your own sessions. During your initial sessions it is important for you to understand from your therapist how they think they can help you, and for you to get a feel for whether they can. You will need to have a few sessions with your therapist to get a feel for whether you think they are right for you .
If you are already having psychotherapy and considering committing suicide, you might need to discuss this with your therapist. Depending on how long you have been with your therapist for, it may also be worth discussing with them (or your doctor) whether a change of therapist might be best for you, and see if they can recommend someone. But bear in mind, just because one particular therapist, or form of psychotherapy, has not worked for you, does not mean that none will. There are lots of forms of psychotherapy, and lots of excellent therapists. Sometimes it is worth persisting for a while.