Psychoanalysis is a controversial discipline and its validity as a science is contested. Nonetheless, it remains a strong influence within psychiatry, due to the compelling nature of its heuristic value. A less intensive, and perhaps more problem-focused psychotherapy, "psychodynamic psychotherapy" often employs many of the same theories, and, is not known to be any less effective.
Better evidence exists, especially for depression, for the use of cognitive behavioral therapy:
CBT is a form of psychotherapy that has been shown to be as effective as antidepressant drug treatment for depression. For select cases, clearly, many feel that the insight gained helps to identify thoughts and behaviors leading to depression.
Yes, there is a lot of research/evidence that states therapy is successful in treating depression. However, the success of treatment is dependent on several things such as personal expectations, commitment level, and one of the most important is the therapeutic relationship you develop with your therapist. That being said, you would have to find what works best for you.