Therapy can work well for people who feel the need to express something to a therapist, or who can learn something useful from a therapist, but it seems like it's often assumed that everyone who is depressed will benefit from therapy. There might be some form of therapy that would help you overcome social anxiety, but it sounds like therapy would otherwise be of limited help for you.
readingagency.org.uk has a reading-well book list. I haven't read any of the books below, but this list is supposed to be vetted by healthcare professionals, so presumably they're of some use. The list may have some bias toward UK authors, so there may be other books of equal or greater value.
We’re All Mad Here: The No-Nonsense Guide to Living with Social Anxiety
Claire Eastham, Natasha Devon
Overcoming Social Anxiety and Shyness, 2nd Edition: A self-help guide using cognitive behavioural techniques
Gillian Butler
Mind Over Mood, Second Edition: Change How You Feel by Changing the Way You Think
Dennis Greenberger, Christine A. Padesky
These links have some information about treatment methods (I excluded the link on conventional methods since it sounds like you've already explored that extensively):
Chinese Herbal Medicine and Acupuncture, World's Second Largest Medical System
Self-Treatment and Miscellaneous
That seems like an unusual feature. It seems like unipolar depression remains mostly stable.
Yoga itself might be helpful to you, but also connecting to the group. I hope you'll try that again if you feel like it.