Impermanence causing depression and anxiety

Seeing the truth of impermanence, one finds it sadly unsatisfying. Letting go of the unsatisfying, embrace the limitless.

Meditate spreading a limitless heart full of love, compassion, rejoicing and equanimity.

MN50:14.4: Come, all of you mendicants, meditate spreading a heart full of love to one direction, and to the second, and to the third, and to the fourth. In the same way above, below, across, everywhere, all around, spread a heart full of love to the whole world—abundant, expansive, limitless, free of enmity and ill will.
Meditate spreading a heart full of compassion …
Meditate spreading a heart full of rejoicing …
Meditate spreading a heart full of equanimity to one direction, and to the second, and to the third, and to the fourth. In the same way above, below, across, everywhere, all around, spread a heart full of equanimity to the whole world—abundant, expansive, limitless, free of enmity and ill will.’

And even with just spreading a limitless heart of love, there is beauty:

SN46.54:12.9: The apex of the heart’s release by love is the beautiful, I say, for a mendicant who has not penetrated to a higher freedom.

Meditating on the heart's release by compassion, rejoicing and equanimity leads on further.

May your sadness be dispelled by limitless love and your efforts lead to freedom.

This is exactly the topic discussed in the River Sutta.

You created this mental concept of relationships with people around you, and you cling to it, assuming these relationships belong to you, i.e. belongs to the self.

But these relationships are impermanent. If you cling to it, it will bring you suffering when these relationships change or end.

The solution is accepting the impermanence and letting go.

Please watch Ajahn Brahm's YouTube talk "Four Ways of Letting Go". Also please read this answer on the South Indian monkey trap.

From River Sutta:

“Bhikkhus, suppose there was a mountain river sweeping downwards, flowing into the distance with a swift current. If on either bank of the river kasa grass or kusa grass were to grow, it would overhang it; if rushes, reeds, or trees were to grow, they would overhang it. If a man being carried along by the current should grasp the kasa grass, it would break off and he would thereby meet with calamity and disaster; if he should grasp the kusa grass, it would break off and he would thereby meet with calamity and disaster; if he should grasp the rushes, reeds, or trees, they would break off and he would thereby meet with calamity and disaster.

“So too, bhikkhus, the uninstructed worldling … regards form as self, or self as possessing form, or form as in self, or self as in form. That form of his disintegrates and he thereby meets with calamity and disaster. He regards feeling as self … perception as self … volitional formations as self … consciousness as self, or self as possessing consciousness, or consciousness as in self, or self as in consciousness. That consciousness of his disintegrates and he thereby meets with calamity and disaster.

“What do you think, bhikkhus, is form permanent or impermanent?”—“Impermanent, venerable sir.”…—“Therefore … Seeing thus … He understands: ‘… there is no more for this state of being.’”

The fact that all things are impermanence just make me sad. How do I feel better?

There's nothing to do. That's just how Samsara is. Everything that arises must end at some point. You can't change that. Trying to change anything will just cause more suffering.

What we can/must do is to come to terms with change through meditation practice. Change is one of the suffering parts of conditioned existence.

The correct thing to do from a Dhamma and Meditational perspective is to take that worry and fear as the primary meditation object and cultivate insights from it. If aversion towards the fear arises, then take the aversion as the primary object until it subsides. Being flexible is a key component in the practice.

The mind needs to see the Three Marks of Existence over and over again until it slowly begins to turn away from them. That is when understanding arises which leads to inner peace, happiness and freedom from suffering.

In other words: when fear arises, meditate on that fear. Try to see it clearly and you will become free from it gradually. The same goes for worry, happiness etc.

The Buddha did not teach the perception of impermanence to all people.

Higher Buddhism is not suitable for all people.

Many Buddhists covert to Islam or Christianity.

That which impermanence appears to ,or that which speaks about impermanence. Is that changing ?

Any kind of material form whatever, whether past, future, or present, internal or external, gross or subtle, inferior or superior, far or near, all material form should be seen as it actually is with proper wisdom thus: “This is not mine, this I am not, this is not my self."

Gautama Buddha (MN 22)

Just meditate on these phenomenon and seeing them for what they are you aren't identified.

Not all impermanent relationships cause you sadness, doesn't it? You have clearly noticed joy taking place once a "bad" relationship end (like escaping from the fetters of drugs or alcohol). Can you remember of any of those? This could be a motivator for you to take your relationships fully, i.e., as they start, age, and die. On the positive side, this attention to birth-age-rebirth of very many things you observe will yield wisdom and reduction of suffering.