Social Anxiety Disorder - I was just percribed sertraline and have been taking for three weeks with?

The way the molecule works is such that it takes 4 to 6 weeks for the physiological response that causes the symptomatic improvement to occur. Essentially, continued presence of the drug encourages the neurons to synthesise new receptor proteins and thus changes the constellation of receptors present at the cell surface. This takes time to set off and time for it to occur, but once it has the full benefit of the drug can be appreciated. Symptom relief prior to 4 to 6 weeks is psychological except in exceptional cases. My mother began it and felt better the day after the first dose, so this does happen, and ultimately it doesn't matter what the biological mechanism is as long as the depression improves.

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So, no, you're not waiting in vain. If you see your doctor now, they'll tell you to go away and come back if no improvement by 6 weeks. Obviously however if you're feeling worse since taking it that's a different issue and seeing the doctor to discuss it'd be something you should get on and do!
When I started taking it, it took about 5 weeks before I really noticed a change.
Take care, try and stay positive!