Your therapist may have been "honest" but just telling you that they have "run out of ideas" is not anything a good therapist should be saying to a patient.
Psychology and effective therapy techniques are scientific and evidence-based, not just some random person's "ideas."
That is rubbish and not considered professional or ethical for the very reason you've shared here-it puts blame on the patient and is very, very discouraging.
Personally, I think that is a dangerous way to speak to a patient dealing with Depression already

I hope you do find someone more knowledgeable, optimistic, and willing to refer to you someone else if they don't know how to treat you.

You are not a lost cause because this one professional says you are!