One of the most useful distinctions in thinking about depression is Freud's distinction between mourning and melancholia. Mourning — grief — is a natural response to loss, and it resolves itself over time. Melancholia, what we now call depression, involves a similar response but directed toward a loss that is either unclear to the person experiencing it, or internalized in a way that damages the person's sense of self.
This psychoanalytic lens on depression opens up questions that purely biological approaches don't: What has been lost? What does this loss mean to this particular person? What gets turned inward? Why does the person hold themselves responsible? These are questions therapy is uniquely placed to address.
This doesn't mean medication has no place — for many people, antidepressants provide the floor of functioning that makes it possible to do the therapeutic work. But medication alone rarely answers the question of why this person became depressed, and why now. Therapy addresses that.