Jayjay, hi and welcome, so glad you are here, I have battled depression, anxiety, and nightmares for years, a good counselor and psychiatrist were a huge help for me.
You may or may not need some meds in addition to what you are doing but thats what the doctor is for.
It sounds like you are doing many of the right things, keep up the good work!
I have fumbled around with my faith for a long long time, I got turned off of chucrch as a kid because of a hateful old pastor and I have never again embraced organized religion, but I work on being a good person, someone I hope God would be proud of.
I recommend Conversations with God by Neale Donald Walsh to everyone I know, it really helped me find a new chance with God.
Best of luck,
B