Two weeks is genuinely early - your body's still in the adjustment phase. The standard timeline most doctors cite is somewhere between 4 to 8 weeks before you start noticing a real shift in mood or anxiety levels, and for some people it takes even longer than that. What often happens first is subtle stuff you might not immediately connect to the medication: sleeping a bit better, or noticing you didn't catastrophize about something that normally would've sent you spiraling. Those small wins can feel invisible at first.
The frustrating part is that sertraline needs time to build up in your system and for your brain chemistry to actually rebalance. During weeks 2-3, side effects sometimes feel more noticeable than benefits, which makes the wait feel pointless. But your doctor's advice to stick with it is solid. If you hit the 6 or 8 week mark and genuinely feel nothing has shifted - no improvement in sleep, appetite, or baseline anxiety - that's when you'd typically loop back and discuss whether the dose needs adjusting or if a different medication might work better for you.
One thing worth tracking is whether your appetite, sleep quality, or ability to focus on tasks has changed, even if your overall mood hasn't felt dramatically different yet. Sometimes the emotional relief lags behind those physical changes. Keep your doctor in the loop about how you're feeling, and don't hesitate to reach out if you notice anything concerning or if the side effects become rough. But purely in terms of whether you're doing it wrong by not feeling better at two weeks - you're not. This is exactly where everyone lands at this point.