Wahoo for engineering! I'm graduating next year in mechanical. I have found in my own experience that the more you get turned down from positions, the more discouraging it is and the more the anxiety can get to you. Try to boost your confidence. Engineering is not as hard to get a job as a philosophy major, English literature major, or economics. Don't get discouraged. The worldwide economy right now is terrible. The 'experts' say that its starting to pick up. I was able to find an internship this summer, but was unable to last summer.
Are you able to get some time in with a therapist? They have tools to help you control your anxiety. There are also medical options, but I would only do that if the anxiety was constant, not just in certain situations. Can you find job hunting workshops or mock interviews to practice with and to get tips on? a lot about getting a job is how you present yourself and not as much about skills. Just keep trying, you will find something.
-brian
