Hi there, I have suffered with depression and anxiety for many years now and in my last treatment was offered CBT. I found this ineffective and think that its widespread use is overhyped. Personally I feel therapies like excercise, yoga and meditation are more helpful.
I'm sorry to hear about your persistent depression and anxiety. CBT isn't for everyone, just as not every antidepressant medication works for everyone. Still, there are lots of treatments that are likely to help with depression and anxiety. Yoga, exercise, and meditation can all be helpful -- keep them up! On the other hand, they are unlikely to fully treat the underlying disorder. Other kinds of psychotherapy might be helpful: for example, Interpersonal Psychotherapy (IPT) has been repeatedly shown to help depression, and may benefit anxiety too. Or antidepressant medications. The important thing is not to give up. One symptom of depression is hopelessness or resignation: you might conclude that if CBT didn't help, no other professional help will. That doesn't follow. Depression makes you feel hopeless, but it's in fact a very treatable disorder. Keep trying the options.