CBT, a type of psychotherapy, was found to benefit nearly half of the 234 patients who received it combined with normal care from their GP.
Up to two-thirds of people with depression do not respond to anti-depressants.
Patients should have access to a range of treatments, the charity Mind said.
CBT is a form of talking psychotherapy to help people with depression change the way they think to improve how they feel and alter their behaviour.
The study followed 469 patients with treatment-resistant depression picked from GP practices in Bristol, Exeter and Glasgow over 12 months.
One group of patients continued with their usual care from their GP, which could include anti-depressant medication, while the second group was also treated with CBT.
After six months, researchers found 46% of those who had received CBT reported at least a 50% reduction in their symptoms.
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