If all you have done is to take the medication and have not addressed the cause of the depression, then it is possible that you would still have these feelings. However, the medication should not be giving you the side effects if it has been properly given. You really need to look into either lowering your dose or tying a different medication. Let your doctor know about the side effects and get that fixed up. Then once on the correct medication/dose .... start working on whatever may be causing the depression.
I am including a pretty good link on the various meds for depression. By the way, this is an ADHD forum. If you do have adhd and are taking a stim medication there can be a strong reaction with either Prozac or Paxil. Let me know if this is what you were taking and I will send you the links on the problems these meds can cause when used with stim meds.
the link is - http://healthlifeandstuff.com/depression/a-look-at-todays-treatment-options-for-depression/
I hope this helps. Please post if you have any questions. Best wishes.