Prozac can definitely stop working. It’s not something to panic over. Go to your doctor. They will probably wean you off Prozac (it could take two or three weeks) and then start you on something else. The something else may or may not work, so you may have to try several different meds before you find something that is good for you.
Meanwhile, use your coping techniques that you’ve been learning in therapy. Exercise extra hard. Make sure you get good sleep. Eat properly and regularly (not before you go to bed). Don’t watch TV the hour before you go to sleep. Get involved in a volunteer activity. Do yoga and meditation or dance or something that gets you out of your head and into your body.
Dealing with depression involves many possible tools. Some you have control over (like the ones I just mentioned). Others are chemical, and you just have to find the right medicine. This is a chronic issue, which means you have to learn to control it for the rest of your life. It is doable. Difficult, but doable. Also worth doing.
Also, I would suggest learning mindfulness. It trains your mind how to cope with your negative thoughts without fighting them. Some people prefer cognitive behavioral therapy, and that works for many, but not all. Mindfulness probably will work for more folks. You learn how to detach yourself from the thoughts that hurt you, and once detached, you can think those thoughts without them dragging you down.
It’s not easy to learn, and can be tricky to do, but worth the effort. Just don’t expect to learn it right away. That’s a sure guarantee you won’t learn it. It comes slowly. Very slowly. But it can really help.
Lot’s to do, I know. You can’t do it all at once. But it’s a list of things to add to your set of coping tools. One at a time. Do it over time. It took me several years to build my tool box, and I had a head start, since I was doing several of these things before I got sick.