Is cognitive behavioral therapy what I need or something else?

So to make this short. Male 25. Anxiety diagnosed for about 3 years, but had anxiety since i was about 16.
In the last 3 years ive been sent to two therapist in the cognitive field, but the 1st just gave my doc a report after the 10 appointments, stating I did not take it serious and did not attend to most appointments. (which is total bs since I dont have a license myself and had someone drive me there each single time) .

The 2nd gave up after 3rd appointment stating "there is nothing more she can do"-

Thing is..... And this might get messy. . . .

Im not sure that cognitive behavioral therapy is what would really help me the most.
I feel like I have allot of baggage with me, and Im obsessed with the damn thought that I can't escape death.  
And I honestly don't think walking around town or riding the buss is gonna cure that.

But every-time I try and mention this (that I wanna try a more verbal approach) I just get told that Im wrong.

For me cognitive behavioral therapy seams like a method to get used to, or convince that your okay in certain situations.
Like being in the middle of a large crowd. Or being scared of driving. Stuff like that. . . .
(and sure i do have such anxiety- Crowds- health anxiety.)
And i can see how that might be the right approach for such subjects.

But when i say Im obsessed with death.... That I can get sadder then I have ever gotten just by thinking "one day im gonna die, and there is nothing I can do about it" ......
How am i suppose to "get used to, or convince myself" that im not.... When its a fact?

I might be totally wrong and even be blinded by how things really work in the therapeutic world. But just makes no sense to me.

Sure i can get used to standing in large crowds if I face that fear and time after time place myself in such an situation showing me that nothing bad will happen. . . .

But how do i face death and win?

Also the baggage im talking about. . . .
Well one example could be when my father tried to kill my mother.
Or when my drunk step-dead was passed out while my sis was trapped between the bed and a radiator.
Or when i was locked inside a closet.  
Just allot of things. . . . (and not trying to get sympathy....) Just feel like I have some things I need to get over, which I have never been able to.

I think i never understood it. Life. Death.
The only two people to die in my family in my lifetime is my grandma (right word? My moms moms mom?)  and her sister.  Grandma was 94 and her sister 80+.
This happened when I was about 16-17. About the same age I got run over and for the first time asked (the paramedic while I was riding in the back of the ambulance) "Am I gonna die?" And he chuckled and said "no".

(gotta ad that my father mother however did die this year. Not entirely sure how old, but she had a very special life which consisted of going to church 3 times daily)

Death just crashed into my life, suddenly. And I think that is a major factor to my current situation.
I think I need to learn in a healthy way, how life really is stringed together. Whats normal to think about and whats not?

I mean..... Something as silly as this. . . . Watched Cowboys and Aliens. And out comes Harrison Ford. My first thought is " how is he still alive ? and how can that old man jump around like that?"

I can't be around old people, cause for me... they could drop any second. It's idiotic.

Yeah this got a bit longer then planned, but maybe someone can throw some advice my way and clear up if cognitive behavioral therapy really is key?

One thing to finish this off:
I really hope Im lucky enough to have sucked in as many of the "viking" genes as possible from the rest of the family.-
(not a single male has died yet in the family- Except a uncle who got sick from poisonous dust found at his work place. )