My first piece of advice is to let your doctor know about your PE -- this could be a huge factor in what appears to be going on. My son (8) is also having urinary problems and I'm taking him in for an VCUG test. Have you had that test yet?
A VCUG is an x-ray exam of the bladder, which involves evaluation of voiding as well. This test checks for reflux from the bladder to the kidneys during voiding. And it appears that you definitely have some reflux going on. By no means am I a doctor, nor am I implying medical advice, but I think there's something going on here that's more medical/physical and that in itself is causing the depression.
You need to find an outstanding urologist and tell him all of your symptoms. This could be the start to a happier life for you.