I gained 180lbs. in two years while I was on Zoloft and Paxil. I wasn't a small person to begin with. I was doing things like eating two large take-out pizzas a day when I could afford to do it. The sick thing was that I was under care of a psychiatrist, a psychologist and my primary care physician, and none of them thought my weight gain was an issue worth addressing.
I got debilitating headaches, spent a good chunk of my 20s with absolutely zero sex drive, only slept about four hours a night and had trouble stringing together a coherent sentence. For all of that, the meds never actually made me feel any better. I just took them because my doctors told me they were helping.
Eventually, I did get fed up and just stopped treatment. I had a few months of even worse headaches, but at least for me it's easier to just deal with depression and anxiety than all the problems that came along with the meds.