I agree with misnomer - the right counselor is key. Sometimes you just have to figure out what that counselor is trying to do for you. It's confusing, and sometimes I find it cheaper to read a book to gain a better understanding. CBT for Dummies, believe it or not, helped me a lot. But, you know what really helped, too? Exercise. Raises natural endorphin levels. Can help you to make it from day today until you figure it out.
I haven't figured it all out - but I do believe that circumstance determines a lot. A person with a loving, supportive, mentally healthy family is going to have an easier time of it than I will - with my unloving, nonsupportive, mentally unhealthy family. : ) I have to make a family - I can't say I've had a whole lot of success in that area, but at least i am not still trying to get what I will never get from my biological family.
So, yes, figuring yourself out, and changing yourself, and accepting what you can't change, and trying different forms of counseling, even trying antidepressants -- it's a process - but in the end, I feel good (most of the time), because I really tried, and I still work at it. No one is happy all the time. Especially not if there is some complexity to you and your life. But, self knowledge can be very gratifying. Then my idiot brother calls and I'm almost back at zero again for a few hours. Then I climb back out again.
Recently, I got some help by doing 3 months with betterhelp.com. You know - it's just a pile of things I have tried in my search for answers.
Bereavement complicates matters - because that is depression for a reason - unlike, say your clinical depression - and i know that sometimes it feels like it is never going to get better with one thing piling up on another. My brother passed away in 2005, and there was not much that was going to help me at that time. Understanding the stages of grief helped me to understand what my brain was going through, but it didn't stop me from really, really, really missing him and feeling very, very, very, bereft - because he was my only family member I had a positive connect with. And, I lost him. It took 5 years for it to stop feeling like a stab wound every time I thought of him.
Learning something new also raises natural endorphin levels. I learned a lot of new things. No just in psychotherapy. Take a class in something that interests you. Best thing CBT for Dummies taught me is - don't do what your depression tells you to do. I.e., don't stop doing anything and sleep too much.
I think what might be key, too - is figuring out whether you need antidepressants. I used wellbutrin after my brother died. I was too deeply depressed at that time to get better just with CBT.
What is your situation with family?
Do you think you might need antidepressants?
You have value. Keep trying.