I was in a similar position two years ago. The best advice I can give you is therapy. It's the best and healthiest decision I ever made.
If you have health insurance (which, given your scenario, seems unlikely), then see if there are any mental health benefits that will allow you to get a counselor or therapist to talk to. If not, pay for it out of pocket. I know that sounds unappealing, but it can be done, and there are plenty of resources designed to help people find affordable and even free therapy. At the time I sought therapy, I was making significantly less than I am now. I used a website where therapists could offer their services at discounted rates for lower income folk, and I managed to secure a woman who was insanely professional and helpful for $50 per week. This was in Orange County, where therapy can easily run $200+ a week.
It was difficult to swallow the cost at first, but adjusting a few unnecessary common purchases (fast food, coffee, video games, etc.) helped make up for it. Like i said, it was an investment in myself, my mental health, and my life, and it absolutely worked. It took a minute, and I definitely sat around for the first few months waiting for something to happen, but that's not really how it works. It's not a magical cure for anxiety or depression, but it will absolutely help you understand underlying causes, deal with anxiety and depression when they crop up, and give you the encouragement you need to manage those as you make further strides in life.
In my case, I've managed to turn my career around, secure the healthiest relationship of my life, become much healthier physically, and I'm about to hit my two year anniversary since I had my last cigarette. It's important to keep in mind that I did all of these things for me, and you can to, but were it not for therapy, I'd have struggled far more than I did.
You're also wasting a lot of time, being unemployed. Get to the gym, or if you can't reasonably pay for that, utilize any local hiking trails, public pools (or rivers, or the beach, or lakes) to swim, and failing all of that- just go for a walk. Put on some pleasant instrumental music (I like classical and post-rock a lot) and go for a walk every single day. I promise you it will improve your mental health very quickly. If you already currently walk, do it without distractions. Don't look at your phone, don't stop every five minutes to engage with something, etc. Pop your headphones in, put on some calming instrumental music, and walk for a mile. If you can go further, go further.
It's okay to start small. You can do it.
EDIT: Just saw that you mentioned you're already in therapy, and she's threatening to drop you. If your therapist is posing an ultimatum like that, she's a bad therapist, and you need to leave her. It's understandable if a therapist has to stop providing services due to a patient's inability to pay (sad as that is), but if she's just straight saying that you need to improve or she'll leave, then she's not only a bad therapist, but a bad person. Leave her now and find someone new, and one piece of advice that really helped me- start delving into your past. No matter what it is, how long ago it happened, or how much you're certain you've already dealt with it. Just talk about it.
For example, I thought my relationship with my parents, bad as it is/was, was totally squared away in my head. My therapist was able to show me how it was still affecting my current relationships, though, and showed me the bumps in the road that I could identify as I moved forward, which helped considerably in dealing with those bumps. I started a relationship that I'm still in a few months after beginning therapy, and I would have absolutely sabotaged it without the therapy. This woman is my future wife, no doubt in my mind, and I would have totally dropped her had I not sought help earlier and independent of the relationship.
I'm not expert myself, but if I had to guess, she's threatening to drop you because she's tried everything she can and it hasn't helped, which could mean she's bad at her job. It would be one thing if she was admitting that she might not be your best bet, and recommended you to a colleague that would better suit you, but just outright saying she's going to stop helping sucks.
EDIT 2: I also hate to throw this accusation out there, but try to evaluate how you interact with her. If you're sabotaging your relationship with your girlfriend and anyone else you're close to, it might be the case that you're also sabotaging your relationship with your therapist. I might be wrong about her being bad at her job, and she might just not be willing to put up with your abuse.
Again, I'm not trying to accuse you of treating your therapist poorly, but do try to consider how you come off from her perspective and make sure that you're treating her with professional courtesy and respect. If that's the case, and she still refuses to help you, then yeah, drop her.
And finally, read this reddit post:
No Zero Days. I promise it will help.
