HI Morrisy and welcome to the BB forums. Here we are your fellow peers trying to offer you support, guidance and we are people you can vent too. Please remember general users are non-professionals but peers.
It sounds like you are going through a rough time and you have a fair bit on your plate. Struggling adjusting to your new job and going out and regretting it. It is normal to have a bit of a transition period when starting a new job. It sounds like you are struggling with it a little bit and your depression and mood maybe making it harder for you to concentrate and maybe pick up new information.
Have you seen your GP/psychiatrist/psychologist recently about your moods and recent stresses? You say your have been on medication for a few years and everything still seems like a struggle. Medication can help reduce your depression, but unfortunately it is not a cure but a tool to be used in conjunction with other treatments (such as therapy, mindfulness etc). I found my anxiety and depression wasn't getting better and I was going to therapy and trying to do all the 'right' things. I discussed this with my doctor and they thought that changing medications was best for me. Now I am not saying this is best for you, but it is still good to discuss with your dr as they maybe find a new direction for you which maybe more helpful.
As with the drinking and gambling, well all knowing drinking too much can make depression and anxiety worse as it is a depressant. But I can also empathise with you. I know what it's like to feel like everything is a struggle and that nothing you do is working. I have used it to cope with my anxiety and depression in the past. A lot of us on the forums would be able to relate to this. My suggestion is to not be so down on yourself for this. We all make mistakes and we need to try move on from it and try learn from it. Maybe next time you go out for drinks have a drink limit and with gambling have a $ limit as well. If you are worried about gambling you can always call the gamblers helpline on 1800 858 858. I'm not saying you are but I always like to post this helpline when talking about gambling.
I find for myself I need to try and discuss my current treatment and mood with my doctor every 6 months. Helps keep me on track and if we need to change directions we can do so together.