Depression is, at least in part, caused by a chemical imbalance which can be corrected with medication. Menopause causes hormone fluctuations, which is a chemical imbalance. It doesn't really matter if your depression and anxiety is caused by menopause or not. It is caused by an imbalance in your body and medication will help.
That said, it's good to see the OB/Gyn. Of course you could be in menopause or peri menopause and medication to smooth out your hormones can help if that is a safe and effective way to go. However, it sounds like there is much more going on causing this level of anxiety and body awareness than menopause.
Because you're sounding so desperate I suggest that you call your therapist. He may be able to increase your dose, change your medication, or add another drug.
If you aren't seeing a mental health professional for help, this is a good example of why you need to have one. Find one right away. Yes, general practitioners can prescribe medications for depression and anxiety but they don't know much about the nuances among different drugs or the specific drugs that will help with specific symptoms.
If you don't have a medical person that you can call, then call a Hotline so that you can talk with someone about how your feeling and they can help you find calm.
I see a nurse practitioner who specializes in medication prescriptions. He does some counseling but his focus is on medications. Therefore he knows more about them than a medical doctor does. I've had to change medications several times and it's rare that I've had to wait 3 weeks for relief. He sees me weekly until I reach an effective dosage. He gradually increases the dose each week or changes the drug based on my response to it.
I found him thru my counselor who does not prescribe medication. I see her for counseling and the nurse practitioner for medication.
If you aren't in counseling/therapy I urge you start now. Yes, depression and anxiety are caused by a chemical imbalance but how we think and act greatly influences the way we feel. If you're in menopause you still may not be helped by hormone replacement therapy. Also, there is concern about the safety of hormone replacement and is not prescribed as often as it used to be. You need help now and a therapist/counselor will be the best source of help. That and getting anti-depressant/anti-anxiety medication titrated to the right drug and the right dose.
I'm thinking that you're not in therapy/counseling based on your post. If not, find a therapist or counselor now. I just noticed the Psychology Today has a web site that lists therapists. That could be one resource. Google counseling and your city for a list of therapists. Ask your doctor for names. I agree that changing doctors is a good idea but you can still use him for getting names. You could also wait and ask the OB/Gyn for names.