Depression from job/job search

Has anyone else ever felt depressed as the result of being in a job that's not the best fit for them and/or not having success on the job search?

I am no longer happy in my job. I went into journalism/media and work every holiday, every weekend and have had my normal schedule constantly changed. I used to not mind my job because my long-term goal was to work with a sports team in a PR department, and I knew non-traditional hours were a part of the deal. Whatever works, right? Over the last few months, though, I have burned out and lost interest in my line of work. I no longer want a journalism job, don't want anything to do with sports media and would be very happy leaving it all behind for a job with normal hours and less cutthroat competition. I have a second job in social media with a startup and have started to embrace that kind of work, the marketing side of things. I've been applying for social media jobs and other non-journalism jobs, like I applied for a staff writer job at a college, and haven't gotten any calls back. Several of my friends and family have hit the job search in the meantime, and the majority of them have landed jobs. A lot of people have been promoted at my current company, one of who was a former peer who is now my supervisor. I applied for another job there and got turned down.

I don't feel like I can tell my managers I'm depressed. I didn't have a good review in the last cycle (we have performance reviews every 3-4 weeks), and I fear if I do, they will want to use it against me. They say they are there for me, but I worry they're just blowing smoke. Right now, I'm not planning on doing it and am just going to go to work like everything's fine.

I'm thinking about getting therapy because I feel so desperate and like I'll never get a job offer. I know it's important to talk things out with a professional, and I cry a lot at this point. I compare myself to the people who are getting promoted and my friends landing jobs and wish I could be like them. People just tell me "work hard," (I guess two jobs isn't enough) "be patient," "You'll find something," but I don't feel very encouraged when these words are all coming from people who have success.

I tie myself up a lot in my job/professional identity. I value having a good job and being respected and successful at whatever company I'm with. I feel good when I get recognized in front of my peers or my boss tells me I did good on a review. So to be doing poorly and to not be really getting even any job interviews is discouraging.

TL;DR: I'm really letting work define me, and this lack of success is really bringing me down. What can I do to feel better?