Typically, when addressing lack of libido or side effects like anhedonia, this would be where you would potentially be offered Welbutrin - makes you crazy horny, AND able to finish (if you catch my drift) ha. Being an atypical antidepressant, it also is a bit more flexible in that you can be prescribed with other medications, while avoiding common "zombie effect" associated with SSRIs. I've heard of great success when people are prescribed Welbutrin (sub max theroeutic dose of 300mg/day) and buspar to manage anxiety.
All of this said, I haven't heard much good regarding Zoloft - ever.
I really want to stress what I mentioned in my edit earlier: diet and adequate sleep are soo important in treating these as well. Proper sleep means not over sleeping, you then can fall victim to sleep inertia and become depressed and just want to sleep. Also, when you first awake, get out of bed, you will find more motivation and energy because you get an adrenaline boost within about 15 min of first waking up, so never just lay in bed. Also, maintain a proper sleep schedule itself to keep your body rhythms in order, they can have a great effect on neurotransmitters, so sleep during night and be up during day.
I have found that people tend to fall victim to a vicious cycle regarding this. When starting an SSRI for example, it is normal to sleep more or change eating habits. This in turn can screw with hormones and rhythms, not only exacerbating potential side effects of medication or minor effects during the adjustment period, but also skewing your perception of the medication's effectiveness. It is going to be important to recognize that no medication is going to just make the feelings go away, and that much like with anxiety, you are going to also need to learn coping mechanisms to deal with the times you feel this way, and ultimately, how to snap out of it or at least get it more under control with the help of the medication taking the edge off.
Also, depending on what psychopathology you were diagnosed with, and the method used to diagnose (dynamic v diagnostic), I can certainly assert the fact that alcohol often times make a condition worse. Not only does alcohol or any other narcotic really disrupt neural signaling, it can drastically screw up neurotransmitters (dopamine, serotonin). You can effectively think that you are self medicating, or addressing your depression, or just trying to feel better, but outside of that period, you can be doing a great deal of damage, further worsening the cycle of depression. Fun fact - in people with bipolar disorder (1 or 2), even the slightest alcohol consumption (with or without medication, though with medication can have even more pronounced results) can send a person into a major depressive episode, which can last a significant period of time!