I think anxiety is a component of depression. One, unfortunately, can lead to the other. Xanax is a good medication for anxiety but it has a shorter half-life than some other anti-anxiety meds like valium or ativan. It may well be that it is wearing off to soon..just a thought.
I find that once I am really anxious it takes a while to wind back down again..if you get really stressed out at work then it sometimes follows you home for the evening. I try (on the way home) to mentally take off my work hat and put on my home hat. It's just a mind trick, but it helps me relax. I know nothing bad is going to happen at home!
I hope the therapy helps you out, and you can get some control over those 'eggshell" feelings. No one should have to live with that feeling. I wish you all the very best. I hope we all find that magical peace