I currently live in a very busy HCOL city. One of the "top" cities in the US. I believe the fact that there are so many people and the fact that the weather has basically sucked all year also has a big part to do with it.
The reason to live in a city like New York is the amount of opportunities available. Sometimes those opportunities do not pertain to you and can be equally captured living anywhere else. There's no reason to pay a premium in terms of money and enduring bad weather if you're not benefiting from what you're paying for.
I'd start by taking a break and getting away from everything. Take a trip into nature. The Japanese call this a forest bath. Spending too much time in a big city without breaks leads to depression and insanity.
See if that fixes your attitude. If it doesn't, then move somewhere where your costs of living are lower, concerns are lower, and where you can still accomplish your goals.
I know I am a work in progress and always will be.
Also, this is a bad mindset ("and always will be"). You're not a work in progress. You're you and just trying to get better.
Get a journal. Each morning start by writing out a few things you're grateful for. Gratitude is necessary for personal happiness when striving for success. Often we concentrate on what we don't have, and lead ourselves into sadness instead of focusing on what we do have and should be happy for.
You'll be alright man. Just take a little break before making your next move. Best of luck @jramos02