How to achieve a diagnosis?

Alex
Okay so I'll be plain: I'm 100% positive that I have some form of depression and also some form of anxiety order. I've known for a long time and have tried to obtain diagnoses so that I can try medicines and therapeutic techniques to deal with them. 
I have seen a psychiatrist and three psychologists (counsellors/therapist types) and despite all of this have never been diagnosed by them. It's infuriating! They knew all about me and I shared some deep things about my life and my feelings and if they didn't know I had anxiety or depression they should have their licenses revoked because it was pretty obvious. 
So I guess my question is how do I get officially diagnosed so that I can begin making progress and stop giving all these damn people my money without actually moving forward in my mental health life?