As for support groups ... strange as it sounds, this place is the best I've come across ...
It's fecking brilliant alright.
As far as mindfulness goes - yeah, my experiences have been quite similar. Meditation is clearly a good mental exercise but it does not get rid of the underlying beliefs that cause negative thoughts, which in turn cause depression and anxiety.
I've harped on ad nauseum about it before, but Dr David Burns' version of CBT is the only kind of self-help that has ever worked for me. I got into it through his podcast ('Feeling Good') - thought it was just more trite shite at first but stuck with it and slowly began to understand what he was doing. When I actually bought one of his books and did the exercises, it did the trick far quicker and more effectively than the fairly dire therapist I was paying for at the time. It was through his stuff that I found the online group.
If nothing else, a book costs less than 1% of a course of therapy, and the podcasts are free.