Your desire may be driven by different factors. Some speculations 1/ when you're depressed you mistakenly believe that a total change of circumstances would lift you out of the depressed andhedonic state, 2/existential crisis/boredom, 3/ you're still young and may be wondering what else is out there that you're missing out on, 4/you feel empty but the reason does not lie with those around you or your circumstances but within you solely..etc.
Regardless of the causes, you can manage this feeling. You've been to psychologist (not sure what the goals of your therapy were) No one would understand you 100%. Your experiences are subjective to you alone. The gist is for you to utilize objective feedback, engage in self introspection and change some of your thinking process, which is largely responsible for how you feel.
Why not try hypnotherapy and NLP (neurolinguistic programming)? They offer faster opportunity for change by targeting the subconscious mind. You have to also be ok with the fact that it is acceptable to want more out of life and for yourself.