I don't think it would hurt to get a psych consult in addition to therapy since meds are involved and you're wondering about a misdiagnosis. Anxiety and depression sort of go together and often coexist. The prevailing thought (or so I've read) is that a doctor would want to treat the prevailing condition, and in theory that should help with both. You're on Klonopin but a very small dose and with the worry you express, I assume there is some anxiety involved. If it is the dominant condition then you could benefit maybe from increasing your Klonopin or switching to a different med. However if depression is the dominant condition, then Klonopin is a drug your new doctor probably wouldn't want you on.
You said you had insurance. Hopefully mental health is covered. If not your county health department could probably be of service to you. As far as therapy goes, look for non-profits who can point you in the direction of someone who works on a sliding scale. To me it sounds like you want to work, so your recovery would be a good investment.
And of course it is. It sounds like you want to get better so I have little doubt you can improve. Sometimes it just takes that initial push and off you go.
I've been where you're at. The guilt, the lack of motivation, the unemployment and underemployment, the anger...all of it sounds familiar. But it can get better. My life is completely different than it used to be. Seven or so years ago I was on the fast track to nowhere but when things turned around, they really turned around. Have faith, and go forward in confidence.