I'll just add to my post above:
Every year that FDR was in office for his first two terms, unemployment fell. The only exceptions being in 1937 and 1938. The numbers only say that unemployment grew if you count government workers as "Unemployed" which they aren't, since they are doing a job and getting paid for it (thus "employed").
Also during FDR's first two terms, the U.S. economy grew at rates of between 9-10%, massive growth for a depression if you ask me.
20% of banks failed when Hoover did nothing, each one that failed leading to the next one failing due to a lack of programs like the FDIC, as people didn't think their money was safe in a bank, opting instead for the good ol' mattress. That is, until FDR stabilized the banks through the FDIC and other programs.
The growth wasn't only in government jobs though, the private sector also grew. With the banks stabilizing, small businesses could pull money in and out, invest it, reinvest, get loans, whatever they needed again without fear of the bank disappearing the next day.
If that isn't proof enough, the two years in which unemployment grew (1937-1938) are the two years in which FDR pulled back his New Deal program because conservatives asked him to. They said "balance the budget - or try to" so he raised taxes and cut spending, and the depression continued because of this until a new bailout of sorts came along in the form of WWII.