You're right, it seems like a pretty standard progression, more traditional meds to newer meds to anklestim to hydro or botox. I haven't switched urologists, but I always dread switching other doctors just because they so often want to go through all the preliminaries again. I'm going through that now with my gastroenterologist to some extent - he's trying to be too conservative in his treatment plan for where I am in my disease progression. I dread having to change urologists, since the new one will probably want to run a bunch of tests again to decide if it's "really" IC. Fortunately my urologist has told me that she not planning to retire anytime soon!
I'm on antidepressants, but that's because I've had major depression for my entire life. I'm not sure they help much with that, but they aren't hurting anything. I've been given tricyclic antidepressants for my bladder issues (amitriptyline, if I remember correctly) but didn't stay on it because it didn't seem to help. Same with Elmiron (all that did is thin my hair and push my hairline higher on my forehead; my wife says it's a great look, but I'm not completely convinced!)
For pain meds, they usually give my hydrocodone since I'm allergic to oxycodone. I've been given hydromorphone before, but I think that was for pain from my liver disease. A big problem that I have is that I take naltrexone for the itching caused by my liver disease (extreme, all-over-my-body itching that causes me to scratch until I bleed), and naltrexone blocks the effects of opiates. I have to stop it a week before a hydro, and put up with the itching until I can get off the pain meds. After a couple of days off, I can get back on the naltrexone and get the itching back under control.