Although going through a rough time mentally is unpleasant and unwanted, there are positives that come out of being lost. When depression and/or anxiety hit, this forces you to understand yourself better and you have no choice but to learn how to cope with your issues to move forwards.
Whatever you end up doing to help you improve your mental health, sometimes being in a rough situation can be the only way to help you recognise that something needs to change. Counselling is one very effective way of understanding why you are feeling lost and helping you back onto the right path.