Honestly, see another doctor, try another medicine. There are so many anti-depressants and such out there, there is bound to be one that works better.
I thought about answering your questions in depth, but I think it would hurt more than help. I've been dealing with depression since I was 9 or 10, I diagnosed at 22. How long I'm depressed depends on when I seek treatment, the earlier I ask for medication the faster the symptoms disappear. I have tried suicide once, and thought of it a few times. I don't cut or hurt myself on purpose. I've tried therapy, and medications. At times the depression has affected relationships.
By accident my doctor and I found the right anti-depressant for me when prescribing a low dose anti-depressant to counter the side effect of another medicine I had to take.
Just like there are many types of antidepressants, there are many types of therapy. I would suggest talking to another doctor to try other anti-depressants, and also finding a different therapist.
One other thing that jumps out at me is using caffeine to keep calm. Usually caffeine is a stimulant, but if it calms you, you should get evaluated for attention deficit disorder.