I was you once in the same place you are now. I can tell you that it gets better.
The tldr is that you have to change your perspective. Sounds so easy right?
Fortunately it is the only thing you have any control over.
So what you need to do is work on and develop your sense of self and self esteem.
The rest of life is about accepting uncertainty of everything else. For example, when you get older you realize that you can't even make your kids like you, you certainly can't control them.
So whatever you do, choosing or not choosing is your choice.
Some things that have helped me:
Listen to the audiobook "I don't want to talk about it" by Terrence Real.
Keep doing the therapy and maybe find another therapist if the one you have isn't helping.
It sounds like you are cerebral so you may need to read a lot of self-help books and understand the theory behind psychotherapy to get some relief. You might even be smarter than your therapist. Ask your therapist what books they recommend. Here you are using them as a professional resource.
You might not be able to think yourself out of depression. Thinking your way out is what CBT is all about. You might need to retrain your body and nervous system too. This is what breath work, meditation, cold exposure, exercise, volunteering and sports are all about.
Give your body a break and stop drinking alcohol and doing any drugs. Get good sleep and most importantly eat well.
Learn breath work, meditation and cold water exposure (this is an ongoing thing, not necessarily a cure all but part of the process). It helps you regulate anxiety.
Journal your thoughts, write in the 3rd person about yourself, ask a friend what they like about you. Write about your accomplishments.
Take a vacation, go visit some of your international friends.
Remember that it is ok to take a break. Sometimes you need that break to harness the vast meta-cognitive properties our brain has to reason about things. People always say they had great insight in the shower, or on the beach. Give yourself the space to disconnect.
Help others volunteering, join a men's group, play a sport, exercise. It helps to get outside of your head. Maybe your school has group therapy for PhDs, see what your therapist says.
As you do all of these things your perspective will shift.