There are no over the counter antidepressants. The herb St John's Wart is sometimes taken for depression but it appears to have no effect on neuropathy.
Generic tricyclic antidepressants are commonly prescribed for neuropathy pain and are available as inexpensive generics.
You do need to see a doctor to get a prescription for these pills because they are too dangerous to self-medicate. Your dosage needs to be increased until it reaches an effective dose and if you stop taking the drug it needs to be tapered off to avoid any rebound effect.