P.G.
Depression quite simply put is a loss or shortage of the seretonin endorphins. Don't feel guilty for what you can't control. It is merely part of your physiology.
Outside stressers don't help. Any changes in those stresses in your life could mean you need changes in your meds.
Let you Dr. know you are not happy with how you feel on Klonopin, there are a lot of medications to consider. It can take time to find the right mix for you, don't give up or settle. There are also a lot of doctors out there if you ever find this one doesn't listen to your needs.
Take the previous contributors advice on the finding a support group. You are doing a lot right by eating right, exercising, seeking help and support.
You are not alone - I love to say that "misery loves company because we 'get' each other so well!"