Hello! I am wondering if you need to see a new psychologist, since the one you have is not helping. And how about your meds? You might need to be on something different.....
I am sorry you are having to deal with a bad job (but at least you have one) and a bum of a brother. If I were you, then I would tell him to lay off his criticism. Depression can be a disorder like diabetes, and even if it's situationally caused in part, then he is not helping. Do you have to live together?
What are you doing at the gym? I think something like the treadmill or the bicycle--or swimming-- would be the best activities.
Hang in here. People do get better. It often takes experimenting with what works best for a given person.
I hope these suggestion are a start, anyway.