The way in which antidepressants work is still not completely understood. For example, SSRIs (are those what you mean by immediate release?) will increase serotonin in your brain more or less immediately, but that does not work yet.
Probably what happens is that by the prolonged increase of serotonin (after taking them for a few weeks already), the synapses in your brain slowly change, adapt to the new situation. And it is this plasticity, this adaptation, within your synapses that is necessary for you to start to feel less depressed.
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