I agree with other people- that therapy may not be able to change a person's situation enough. Can we really learn to just accept all the bad stuff? Plus, it can't give a person purpose. Other than some vague hope they'd like to feel better. That feels too vague to work towards, to me.
Sometimes, I wonder if our negative coping mechanisms are also just too compelling to release entirely. Take someone who self harms. Presumably, if they are going to therapy, it means they recognise that is probably not the best coping mechanism. So, if they continue to still do it- why? It surely must be because it still gives them something that therapy doesn't. The same goes I suppose for ideation and negative thinking. I suppose it just feels more comforting to some of us. So, do we trap ourselves sometimes? A diet won't work if we refuse to stop eating chocolate cake.
Plus conversely, it can't make us enjoy an activity. I got the impression during my brief stint with therapy and meds that- they were there to get me back on track. The meds would hopefully raise my mood and energy enough for me to engage with nicer life stuff or at least, endorphin producing life stuff, which would then- in theory, take over. I guess that in theory, ought to be happening with your gym sessions. It sounds like you're doing it all right. I can understand the frustration when it doesn't work.
For me, my 'saving grace' was always being creative. I went to a few therapy sessions and did one course of fluoexetine- to no effect. The moment I received a new creative project to do, I felt much better and, dropped both!
I think probably both therapy and meds are copes, rather than cures. For a cure, I suppose we genuinely need to want to engage with (healthy) things in life (again.)
I suppose individually though, we can only know ourselves. What is it you want in life? Have you felt unhappy for a long period or, is it recent? Did things bring you joy in the past? When and why do you think it changed? I think we probably need to use therapy to reach a further goal of some sort- rather than it being the destination itself. That's my feeling anyway.
I feel it wouldn't work for me because I've lost faith/ enthusiasm/ interest in my goals. Plus, I'm not willing to put myself through a whole bunch of discomfort to (only possibly) reach a better place. It hasn't worked in the past. Why would it work this time? I think that's another reason too. Repeated failures can mean we have less faith in it to begin with.