Ok, so the first thing to do is to make an appointment as soon as you can to see your GP.
Speaking from experience, it is not unusual at all to work your way through a variety of antidepressants before finding one which suits. (I have been through Sertraline, Citralopram, Duloxetiene, Mirtazapine, Fluoxetiene et al). In almost all these cases, for me, there was some improvement in mood before that subsided and I felt easily as bad as I had before. Don't panic, as much as a pain in the arse it is, this can be common.
Tell him you are especially suffering anxiety symptoms at the moment, they can prescribe an anti anxiety med to run alongside your antidepressant, such as Propranolol, while they decide to handle your current medication going forward.
Don't worry about the CBT thing, although it works for some people I did it too and found it to be like trying to talk a broken leg better.
In the meantime, try to be kind to yourself. The fact you're not responding to a certain drug (past a certain point) isn't your fault or really within the realms of your control. The Dr WILL have been through this before and can help. There's even a good chance the AD is fine, but the anxiety just needs managing.
Little things help me a lot, put off none essential tasks, the world won't stop turning if you opt out until you feel a bit more levelled out.