Many of us can get in a major funk where our situation feels hopeless. Whether it's about our hair, or the hair more of a metaphor for our life in its current state. But a successful hair transplant wouldn't necessarily alleviate your anxiety/depression. A bad one would only make things much, much worse.
All is not lost my friend, you're not out of options for your hair yet. But Berba11 is right. If your depression is that crippling, before delving into strategies of keeping/improving your hair, try to find someone you are willing to talk to one on one about your situation in person if possible. I'm not trying to stop you from getting hair advice here or anything, because it's clearly bothering you. I'm sure we all can empathize as it bothers everyone on here to a degree, so I encourage members to chime in with suggestions. That said, depression can be a multifaceted problem where the root cause might not necessarily be what you think it is.
Best,
Ian