I guess while I am doing my advanced degree studies I struggle a lot, and eventually fell into deep depression that's taken over my life since then. Because of it, I haven't been able to do things right, and bit by bit I have started to lose my self-esteem because of my lack of achievements, until I ended unemployed because no one seems to think I can do the job, which reinforces my self doubts. Before that I was doing my undergraduate studies and school, and I did well, so, I was more confident. Besides I didn't face high expectations from anyone.

But I guess you are right, I need to achieve things to build my confidence, however starting is the most difficult part. Overcoming my doubts and anxiety to start is a real struggle. For example I am trying to read a book that I think could help me develop some skills to land a job, most of the days I open it, but never read in it because I would think "you are too late in this, and you don't have experience anyway, and no one would hire you". It's like a snowball.