I would also add to give it time and not give up after one or two sessions. It takes time to establish a relationship with a therapist you connect with and to see patterns in your life emerge.
I must be crap at finding therapists. The ones I found were really against being "interventionists" and didn't want to share with me what they were seeing from our very lightly guided conversation (where I didn't even know what I should be talking about).
"A little intervention and a little guidance would be cool folks! Otherwise, why am I not talking to a tape recorder?"
But the tape recorder kind of conversations (and you can just do these yourself) is actually a really effective tool when you are feeling overwhelmed. I use a journal instead of a tape recorder but it lets me establish how I am feeling at that moment, and then I can revisit later and evaluate what was going on.
If you're able to do this consistently, it becomes a really valuable tool because you can start to find correlations. "I notice I get depressed when I spend too much time just playing games". Correlations aren't necessarily causation, but even just that simple correlative analysis can be a meaningful tool.
Also I need to find a way to find better therapists! :-)
EDIT: Or maybe just realize that I get more depressed (and anxious) when I drink massive amounts of depressants, and, you know, stop? :-)
Ultimately I ended up adjusting my environment by both accepting it was OK to end some relationships with some angry people in my life (not angry at me, but angry generally) and adjusting how I approach work.
In my case, I had a couple of back-to-back life-events that I just couldn't process/accept, (and frankly using alcohol to deal with the first probably lead to the second), but, then, hey! I was an addict! It probably took me 15~20 years to stop using that as my go-to avoidance technique (even though I knew how unhealthy/unuseful it was, I didn't really have another. Shame on me)
I tend to try to seek out CBT people, but I found that a lot of them started out as classicists themselves, and then we find our way back into being "non-interventionists".
My mental model now is that the cycle of life goes something like this: Born -> WTF is Going on Here? -> Death
Maybe that's cynical, but it helps me believe that I'm not the only one who is fucked up between the ears .
That said, keep looking, it has been terribly helpful for me to have someone who can analytically call on any bullshit I tell myself. I've learned to catch a lot of my patterns myself, but this guy simply catches the ones I miss or helps me understand why something is troubling me. I'd say our conversations are pretty balanced in who is speaking.