You aren't doing anything wrong, you are doing exactly what you need to do by proactively seeking therapy and by being aware of what is going on inside of you. This is one of those things where it takes some time to get through it. It would be wonderful if one day we all woke up and everything was perfect but it never seems to work out that way. What ever the events where that led you to this point just realize that something happened, and I am assuming it was not something good so it should make you feel not so good, which is perfectly normal. As long as you do get up every morning and do what you need to do, you are trying enough, Eventually there will be good days.
I have battled this thing on and off for many years and I still fall into that trap of "what am I doing wrong" or "am I doing enough". Its hard to see the forest when you're down amoungst the trees.
You have a therapist and have starts meds so you are definitely on the right track. In time the meds will help you to deal better with small things and help you to function more normally so that you can do the "work" that is needed for real change.
I have found that the best solution for me is to stick to what I know works for me. Its like a mantra....Medicate, meditate, exercise, positive thoughts, have fun.
Maybe you need a "mantra" too.
I hope you start to feel better soon. Write me back if you want to.