No therapy will work for everybody, that is just how it is. Even the research supporting CBT doesn't claim it's a panacea, just that it works for a lot of people.

Maybe you can try finding who uses a psychodynamic and/or interpersonal approach, if you want your emotions addressed that sounds like it might work better for you.

Personally during my worst depressive times I wouldn't have been able to do CBT because I was so cognitively impaired, I couldn't comprehend anything I read anymore at times.