Well, personally, I don't think the meds are appropriate unless the depression is persistent (like several weeks) and is moderate to severe. Otherwise, counseling alone is more appropriate, or maybe you are actually grieving the loss of a loved one, a job, or a gf/bf or something, and grief shouldn't be medicated away.
OK so if you ARE a candidate for meds, then you may have to just give this med time. I would call up the pharmacist or a nurse hotline thru your insurance plan and see if this is normal to be out of it for a few days while you get used to the medication. Maybe you need to take it at night instead of the morning, or should have started at a lower dose. I personally hate SSRI's and the newer ones that also work on serotonin and another brain chemical (cymbalta, effexor) because your sex life will probably be over forever if you keep taking it. Doesn't happen to everyone, but most everyone. Maybe you will luck out or are not in a relationship.
Remember, even if you do get used to zoloft, which you probably will, it may not be the medicine that works for you, and then you will have to try another. It is a hit or miss proposition with the psych drugs, there is no test to determine which drug is going to work best for which person. It can be frustrating!
All the best to you! Make sure you get counseling along with your meds, meds alone is NEVER a good option, even if you have a more genetic type mental illness (I have bipolar disorder, for example).