Antidepressants, should I try again?

I used to take Effexor 150.time released. i took it for 5 or so years. It really helped but I hated the brain zaps if I missed and I gained weight. I weaned my self off about a year ago, but am wondering if I should get back on it. I started trying Sam-e about two weeks ago, and maybe I am not giving it enough time to work. I am thinking about going back to the Dr. and getting the Effexor back. Is there anything natural that would be helpful? Should I give the Sam-E a bit more time?