Should you dress up to go to a temp agency? I'm also lacking in confidence...?

because I've already been to two of them with no luck. I have noticed myself falling into a deeper depression as more and more things aren't going right with my life. I don't know how to pick myself up. I always act confident in my interviews and am articulate and such but I still somehow don't get the job. I really want to know from these places why I didn't get the job, but can you even ask that to an employer? I just don't want to keep messing up without knowing it, if I am messing up. I don't even know. I'm so jealous of other people's lives. I just want some luck of my own. I've worked for some very bad companies and am very anxious about getting into a bad one again. I do not enjoy throwing up before going to work. Any advice? Or am I just doomed forever and should accept that I'll be saying "do you want fries with that" for the rest of my life...even though I really didn't want to have to resort to fast food at all.