Feelings are caused by thoughts. Negative thoughts produce negative feelings which in turn produce more negative thoughts and feelings. It's a downward spiral that must be stopped in it's tracks.
If because of your JW training you were convinced that only those who are heavily involved in promoting their beliefs, are worthy of God's love, it only makes sense that after you leave, you would possibly feel worse for a time. If you still have lingering beleifs, you'll have to identify them and delve into why that is so. When you are feeling particularly worthless, you'll have to identify and investigate the source of the specific thoughts you were having when the feelings came over you.
Part of the therapy of this forum comes from looking at our former beliefs from a diffrent perspective so that we can decide what it is we truly think, beleive and feel.