I think you should do two things; if you don't have one find one doctor you feel you can trust who can overview and manage your problems.

Two get a seond opinon from another rheumatologist. It could very well be that depression is exacerbating your symptoms and you should keep in mind that some anti-depressants are all helpful with pain but depression does not cause FM. Yes depression often co-occurs with FM but that's probably because. as you say, it's difficult having to deal with pain all the time and its difficult having a chronic disease period.

Thus while treating depression may help you feel better it will not cure your FM.  Yor rheumtologist has put the cart before the horse. I suggest you find someone who will treat both your FM and your depression.

Good luck! It's tough making your way through the medical system sometimes with FM. 

Here's some more information on FM (http://www.healthcentral.com/chronic-pain/fibromyalgia.html)