Hi and welcome to the forum.
I'm not on HRT but can relate with the anxiety and dark thoughts,these were my worst symptoms. There not nearly as bad now and I somehow struggled through it all,so there is light at the end of the tunnel.
I know sometimes you need a bit of trial and error finding the right HRT to suit,so if you're finding the one you are on to unbearable,do go back to your Dr,hopefully you have one at your surgery that is meno savvy,do ask when you ring x