Things changed once someone pointed out to me that almost everyone has problems of similar or greater magnitude as mine, but most of them are not sad/unhappy/depressed.
Well, OK - that realization didn't make my problems go away, but it did set me down a path.
As others have already said, the role of a therapist isn't to solve those problems you have in your life. They might be able to help you not get mentally affected by those problems, though.
When I found out my insurance included therapy, I said "Heck, why not?" Had only 3 sessions with him. The outcome?
I learned that my problems are not severe enough to warrant serious therapy (based on a heuristic they use). That's not to say I shouldn't feel bad about them or anything, but to highlight that yes, people have ups and downs, and I may have just a few more downs than the median, but I'm not far from the median.
The problems I was dealing with had solutions. He outlined a few options to me and recommended some books. I picked one of the options and started reading those books (frankly, I was interested in the topic anyway).
Knowing that my problems were ultimately due to the lack of a few (learnable) skills makes a big difference. And now I can see people around me who have similar issues - some who think they've got serious psychological problems - and their internal mental torment is rather sad.
Agree with what others have said: Plenty of crappy therapists out there. I seem to have been lucky with mine.