I am glad the individual session CBT has been helpful to some degree, but it may not be the only course of treatment that can help — particularly when you are feeling this amount of anxiety and depression at the end of the treatment sessions.
Ask your therapist to help you put together a relapse-prevention plan. Unfortunately, there is a high degree of relapse with treatment that doesn’t include a prevention plan. I would also highly recommend the book The Resilience Factor, as it will give you some additional tools for coping. You may also want to find an ongoing group to help develop some additional coping skills. Talking with your therapist about an aftercare plan and what to do if there is a relapse can be very important in your recovery.