That's tough, and I feel for you. As someone else mentioned, maybe it's a good idea to reevaluate if this career is right for you? That's not to say I think you shouldn't try to persevere, but it's a valid question to ask yourself.

It sounds like you're doing the right thing by getting therapy, based on what you describe. That's probably something I should have done, rather than work through my problems alone. It's certainly possible to do the latter, but it takes a long time.

Connecting with colleagues in any meaningful way is really a rarity. In the 5 year career I've had being a full-time programmer, I've only meet about 3 people with whom I've been able to really connect with, and only one of those in any sort of deep level(as in we've kept in touch long after we both moved on). I don't know what you are like, but it's possible that the way you socialize is just different from most people. A lot of people are happy with very surface-level interactions, which is why they can be happy going to parties because they can talk about meaningless drivel and be satisfied with the sort of safety provided by not really rocking the boat in any way. Maybe you are one of those people, or maybe you're like I am in that I have no interest in speaking their language but value depth when it comes along. Either way, understanding that can help you look for a work environment that better suits who you are.

Still, either way, connecting with people doesn't happen very often. I long desired to connect with people(I'm relatively bad at this) in part because I struggled in childhood to make friends who weren't going to later stab me in the back. It was difficult to come to the conclusion that I don't actually need connection as much as I thought, but once I did, it was quite freeing because I could better value connections(as opposed to having a level of desperation for it) and also be perfectly content on being by myself and doing my own thing.

Back to the career thing... what other sort of institutions have you worked for? No offense, but financial institutions are the kind of places I specifically choose not to work for. Ask anyone who knows me, and they'll say I've passed up jobs because they were for financial institutions. :) A lot of people are fine with them, but it's not for me. If you've only worked for similar places in the past, maybe your outlook on your career is jaded in part because you don't know how good it can actually be? Just a thought. If, for example, you've previously only worked for other financial firms or marketing firms, then you might not know how good you can realistically have it.

The job I just left was at a non-profit public media organization. What I really liked about that company, despite some minor shortcomings, is that I could believe in the mission, which is important for me. If I worked somewhere that was solely interested in milking the customers of money, I'd lose interest in short order. Maybe a non-profit organization is a good place for you to work? Since they have a limited income, they tend to be more flexible and understanding with their employees since they would prefer to keep them around rather than lose them during critical times.