I too have had to deal with feelings of lack of confidence, depression and still do to this day. In fact i'm currently taking a few day hiatus of my goals to re-focus myself and my confidence levels. I sometimes get so involved with my own pursuits that I forget to think.

But what I have found really helps me is trying to ask myself why i feel this way and what I need to do to change this. Like you said in your post, It is a state of mind. and it literally is. A little under a year ago I started to look more into Philosophy, which I recommend to anyone that feels confused, unsure, or overwhelmed with life. By doing this I've opened myself up to a wider range of thinking and a better inner dialogue with myself that allows me to contemplate my life, surroundings and what direction I am heading in with a better understanding of what life truly is.

Many of us get bogged down with the ins-and-outs of everyday life in a 3 dimensional world. But their is so much more to life that, for some of us, we never uncover. I know that sounds vague, but from my own personal experience I know what that simple sentence means.

My suggestion, which helped me, is to start looking for answers to your questions.

I was lacking confidence, and i feel this was because I was so unaware of things. Upon looking for answers it lead me to quantum mechanics, partical physics, metaphysics, epistemology, philosophy and now, as of late, string theory (or M theory). Now I look at the world in a whole different way.

ps. bhouncy I like that Socrates quote, I will be adding that to the daily quotes I tell myself through out the day to help reaffirm my thoughts and goals