I would suggest:
1. An appointment with a psychiatrist to discuss changes to help your mood and anxiety. Given your stressful life, I wouldn't simply take meds, but would include yoga and/or meditation.
2. Individual counseling for you to help you sort things out and deal with the above issues.
3. Al-Anon for you and possibly your husband. It helps a person learn how to set boundaries with dysfunctional people, whether alcohol is involved or not.
4. Marriage counseling.
I would stop the threats of divorce. Either you want to work on your marriage or you don't, but the threats undermine the relationship and will negate anything you are working on in marriage counseling.
As far as Al-Anon, I was raised in a non-drinking household, but there were some dysfunctional ways of dealing with issues. Al-Anon helps learn healthier ways of handling ourselves and creating boundaries.
If you think divorce would mean your issues would stop, you are in for a surprise. Yes, you would have court-appointed time for yourself, however remember that your husband would likely have his family watching the children when he has visitation and you couldn't stop him unless there is a court order barring them from unsupervised time with the children. There is less control concerning the whereabouts of our children when parents are divorced. Right now having time to yourself might seem tempting, however when faced with it you may feel differently. My youngest is 12yo and that has been one of the hardest things about my divorce (and my divorce didn't happen until he was 10).
And that's just the tip of the divorce iceberg....it really is one of the most stressful events to occur in ones life. At least it was for me. Having said that, I should have done a lot of things differently, however the actual divorce wouldn't be one of them.
You are the only person who is responsible for your happiness. It isn't to say that you aren't dealing with a lot of stressful events and circumstances, but if you are expecting to have your husband, children, job, yada yada yada, make you happy, it is not likely to occur. In the last 5 years I have dealt with my own severe depression and anxiety, self-medicating with alcohol and pills, realizing I was gay, coming out of the closet (and it was a very large, walk-in closet

),12-step recovery program, marriage ending, and a total lifestyle change. Through it all, I would joke to others that I was the happiest depressed person they could ever meet. Not sure how I survived it all, but I did have to tell myself that I could get through anything for a 24 hour period and that things would get better. Everything passes, the good and the bad.