Why take risks with your health when there are lots of safe, cheap and efficacious treatments that can be monitored by your doctor?
The issue here I think is that most current anti-depressants are currently of the SSRI / SNRI / tri-cyclic class. These treatments work great for some people, but do not work for everyone.
In one case (ketamine), this particular hallucinogenic drug has emerged as a candidate for anti-depression therapy (at least in mechanism) that works quite a bit different than the above (acts on glutamate). Non-hallucinogenic glutamatergic anti-depression drugs are being developed as a result, but as one is well aware, this takes time. Until one of these drugs emerges (rapastinel seems furthest along at this time), off-label ketamine clinics do exist where you can take the drug with some degree of clinical supervision.
I have not seen too much on the serotonin agonist hallucinogens in the past relieving depression, but Googling, there does seem to be a newish article on psilocybin (https://www.nature.com/articles/s41598-017-13282-7) that suggests it does offer a possible interesting anti-depression mechanism too. Possibly more exploration is needed here to confirm whether it works well (or not) and, if so, how.
I don't think we've even come close to exploring all routes to resolving depression, so I think exploring as many routes as possible is a good path. (And I do think scientists are doing this -- the parent article was for instance the first time I've heard of a melatonin receptor agonist as an anti-depressant candidate! https://en.wikipedia.org/wiki/Agomelatine )
It's not the cost of the medication that's the problem. It's access to the professional to prescribe the medication that drives people to self-medicate, IMHO.
Also in my case it wasn’t depression, so I can’t really speak to that, but SSRIs are also prescribed for anxiety disorders. I chose not to go on them when they were offered because I didn’t feel that the side effects were worth it, and they weren’t the correct treatment anyway because at the time I was mainly anxious due to alcohol withdrawal. (I’m lucky I didn’t have a seizure!)
I just hope in the future there’s more access to psychedelics (and analogues) in a safe, professional setting, because they’ve been shown to be another potentially useful tool in the antidepressant/anxiolytic/self-care kit.