I am hesitant when it comes to giving advice to someone who may be depressed, because I think it can be a medical issue that is best dealt with by professionals. But I have dealt with a similar issue to yours, wondering how to deal with a changed perspective after leaving a life that felt carefree (in terms of future worries).
I agree with Simon that it is a huge help to have something that you want to do, that you would do even if you weren't being rewarded for it. Looks like you have that with the band you are in. If you have any other endeavors, work on those. They give us a sense of purpose that is personal, and I think that helps a lot mentally.
One of the things I did at one point was sit down and try to figure out what I wanted in life. Everyone, I believe, wants to be happy more than anything else. But we all have our own ideas of what makes us feel happy, or fulfilled, or challenged, etc. So I needed to find mine. I came up with three things: comfort, security, and control. Comfort meant having a good home life with the necessary creature comforts. Nothing extravagant, just the stuff I felt would make me happy. Security was partly financial and partly wanting to live somewhere that had low crime and nicer people. Control meant just that- having control of my life on as many levels as possible.
Once I knew what I wanted, I could map out a life that checks off those boxes. I'm lucky, I guess, in that my life as a JW was quiet and mostly isolated, so I am perfectly happy living by myself. That helps with the comfort and control parts of my list. Had that not been the case, my list would be different, but I'd still be working to be happy as much as I can.
That would be my advice- find things you want to do, and figure out the things that you need in your life so you can be happy more often, and then work towards those. Nearly everything that makes us happy is free or has a reasonable cost, which means it's only a matter of finding our happiness and making relatively small changes to achieve it.
