I could just easily pass this thread by, as you already have a lot of wonderful compassionate responses, but when dealing with depression and anxiety, more love is better - so here is my story...
I have bipolar type 2, and I have learned that anxiety is a symptom of depression (treated with the same meds, same area of the brain, etc). I think that seeing a therapist that you like is worth every penny, so please don't view that as a waste, and don't stop going, especially when you feel better, especially when you feel the worst.
There is also something else you can do, which I have done, that can greatly help with depression and anxiety (and the OCD that might be paired with it, which I feel is common among folks on MMM whether they want to accept it or not) and its Neurofeedback. If you want to know more about this, I can explain it pretty well, it helped me so much I can't really say enough about it, but it does not completely solve the issues, it just gives you some traction that can make it easier to use all those good tools your therapist is giving you to handle the tough times in life.
Also, just know that the anxiety does decrease with every debt paid off, with every dollar in savings. It really is hard to get a pleasant balance between saving and spending when you don't have a solid savings in place and feel like you're getting somewhere. That's when its a good time to get to know all the free activities around you that you can try to do, whether they are your favorites or not.
Many hugs and comfort to you, you are not alone, not by far!