Chirkey - I'm sure good diet, exercise, etc. etc. hobbies do their part . Maybe your doctor needs to try a different medication or a cocktail of sorts. A little of one anti-depressant and a bit of another - sometimes do a lot of good in combination. I know all about major depression, general anxiety disorder, severe social phobias, agoraphobia etc, etc. because I experienced all of them for a great number of years. The only med that works for me is an SSRI Celexa. It's a cheap generic now but, it isn't as good at the name brand was. Still that's all I can get with part D medicare.
I have outlived two psychiatrists and in that time they shifted from talk therapy to just being pharmaceutical psychiatrists that see you to determine your med needs and then pass you off to a psychologist for talk therapy. I tried talk therapy - with varying degrees of success.
I'm not trying to say Celexa is the right med for you but, that when you find the ONE or combination of meds - you will be better able to deal with anxiety, social phobias etc. Group therapy is a valuable component also - everyone there is suffering in their own way . I've never found diet to help but, that's just me. I do get a lot of help from my med AND walking - one or the other alone doesn't usually do enough. Once I felt somewhat better I wanted to start leaving the house, making myself say hello to strangers and so on. It was still a struggle but I was ready to tackle it baby step at a time.
What doesn't help is "well meaning" friends, family, strangers that tell you "just don't think about depression, etc."Or others who think you are faking to escape things that aren't pleasant. That's all horse hockey-bs.
Maybe one of your medical professionals can give you lessons in self talk. For instance I used to have bad panic attacks, as I was getting better self talk went something like "okay I've had panic attacks before, and I lived through them. I may get very upset with them BUT, I know they won't kill me." Nowadays, if I feel one attack is coming on, I can stop it with "take it easy, you'll be fine. Breathe in deeply thru the nose and breathe out slowly from your mouth.