What can a vet for for him?

My dog has some anxiety/ depression issues this week. He's hiding away, doesn't want to eat too much, runs around the house tail between his legs and head down, etc. This just started on Monday.

The last time he behaved like this, I took him to the vet and they literally did nothing, just said it's separation anxiety.

I'm giving him CBD oil three times a day since Monday but it's not doing much, although he does get a bit better every day.

What else would a vet do, would it be worth the visit?