Have lost confidence in myself as my mental health issues getting worse? Change doctors?

Probably. I usually tell patients to give a new therapist or psychiatrist a few sessions to "warm up" before firing him or her. Even beyond that, many mental health disorders are tough to treat, so it's hard to say how long to give your current doc to get you well. Sometimes a "new set of eyes (and ears)" can help shed light on diagnosis and treatment. If in doubt, a second opinion couldn't hurt.
Try a support group. The 12 steps got the sequence of personality development correct. A second professional opinion is always a good idea.