I'm sorry you are feeling this way. I can really relate to all you've said. It is so confusing and frightening to have all these thoughts and emotions and not be able to just feel better by choice or change of thoughts.
Whatever happened to you will get better. It's frustrating to be patient and trust the process therapy offers. I am experiencing so much impatience with it all right now myself.
Maybe you could get medication as a temporary measure to help with the anxiety and depression while you're in therapy. I was very against the medications, but things became so much that I gave into anything that will help.
I hope you start feeling better soon and that your therapist does as well so you can get the help you need.