The accepted wisdom is that you should wait five weeks at the highest recommended dose before giving up on an antidepressant. Psychotherapy should probably show some benefit within four to eight weeks.
Sometimes it helps to see your doctor and therapist more frequently if your depression is severe or not responding to treatment. This maximizes your access to treatment, and it also gives them a better opportunity to observe your progress. Often, your doctor and therapist can see signs of improvement or deterioration before they are evident to you.
Overall, you and your doctor and therapist should all be able to see some clear, noticeable improvements within two months of starting treatment.