anecdotally, yes, absolutely. especially SSRI's and Benzos.
that doesn't mean you should stop, especially if they're improving your quality of life.
i came off of everything after about a year. i think i sought medication hoping they would re-wire or kickstart some magical brain function, and in the end i just felt cloudy.
i didn't have less total anxiety on benzos, it was just a lot less severe. SSRI's made me feel even more sapped than the benzos did. i don't think i've gone more than a month on any one in particular. i did about 6 months of wellbutrin and didn't notice much in the way of side effects or mood changes.
the best medicine for me has been exercise. the days i don't feel like getting out of bed are the days i make damn sure that i do. the people i know struggling the most with depression are the people that sulk around and let it consume them, and i've been that person. even just something as simple as a half hour run does a great job of getting me out of my own head while getting endorphins flowing.
training has become a definite catharsis for me, so when the medications made it more difficult to train it was almost compounding the problem.
i now think of Pharms as a supplement rather than a solution, palliative more than preventative.
it's awesome you're working through things. that's the most important part. try not to tie happiness to the intangible or the ideals, but find it in the everyday. happiness isn't a moment or an object, it's a lifestyle choice. there is plenty of good amongst the bad. just keep working at it and don't be so hard on yourself. take it day-by-day, every day.