There's nothing that could've been done differently. We couldn't've (could have not) made different choices than we did, and things couldn't've been different because in the past we didn't have the insight we have right now.
Are we ever conscious of the full consequences of mistakes before we make them?

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There's no denying that the past cannot be affected whatsoever. Past is past (or rather was) and if we don't accept it, we suffer. Of course, you could say "I'd rather suffer than accept that X happened". Then be insane if that's your will. You have every right to be insane. But do you want to?

Not suffering is as simple as realizing we can't resist the present moment / the Now / life / what is. We can't resist life, we can only yield to it. To change our present situation, we FIRST surrender to it (without resentment), and then act. If you were stuck in mud, would nonacceptance of being stuck help you? Or should you acknowledge that you're stuck and try calmly getting out?

Wishing things turned out differently is insane because we can't change what doesn't exist. All we can do is surrender to the fact that we can't fix what already happened and THEN and ONLY THEN can we make the right choices. But your ego will try to stop you from doing that. The ego fears the death of its past identity... But remember that your ego is only a part of you.

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What can we regret? There's nothing there. What we've lost, doesn't exist anymore, whether it's people who died (except for their souls), lost opportunities, mistakes we made or things done to us by others, and it's the law of the universe. If we got attached to someone or something, a temporary state, with the mindset that we cannot live without them, we suffer because of this unconscious mindset. But if we remember that everything is impermanent, we are prepared that one day we may lose anything and live as if nothing happened, grateful for the present moment, still making the right choices. That's enlightenment.

Once you die, would you want your loved ones get depressed because of your death?
No?
If not, why would you suffer because of your loved one's death? Would they want you to suffer? Would they want to deny your happiness?

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The past doesn't exist anymore, while the future doesn't exist yet. Don't believe me? Well, if we didn't think about the past, where would it be? Don't memories and mementos exist in the present moment?

Or, can you show me the future? If not, where is it? Well, it's not anywhere. What is, is. What was/what will be, is not.

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Isn't anxiety also derived from attachments and the lack of understanding of impermanence? Everything in this 3D world is impermanent. We get attached to opportunities, belongings, mind states, relationships and even life. Relationships can end at any moment but we can be loyal without conditioning our happiness on someone's presence. Loyalty without attachment. After all, how can we love someone if we're using them for our happiness?

Another example. People and animals can die at any moment but we could spend all our time with them without attachment.

Sadness is temporary, and so is happiness.
In the end, all we need to do to end anxiety is to practice being the observers of our minds and realize every time that whatever makes us anxious, doesn't exist. Anxiety is also unconscious.

Do you have a personal problem? If not, then why worry?
Do you actually have a problem?
Yes?
Can you solve it? If you can, do it. Otherwise, why worry?
Can you do nothing about it?
Well, if you can't do anything about it, then why worry?
(taken from a flow chart)

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Justice is never fair. To not be an insane egoist is to be forgiving towards ourselves and others, and that's the harsh truth. Punishing ourselves harms us and those close to us who aren't present. Punishing others only causes more suffering without fixing anything. Karma happens on its own. All we can do is try to prevent bad situations from happening again, and try to make the culprit compensate for their wrongdoings to the victim, but NOT to the victim's ego. Ego is deadly, like the revenge that comes from it. Vengeance is not compensation; it's evil (research Natural Law). Justice is like wanting to change the past.

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Are you depressed or is there depression in you? Do you identify with your depression?
Because that's the real problem. Aside from a processed food diet and lack of sleep or vitamins (such as vitamin D), depression is never caused by the external world, only by our minds and the long-term results of our thoughts. Even the often-quoted chemical imbalance has a cause, which is bad habits and unconsciousness. It's created when our minds fall into a downwards spiral of fear of some kind...

We cannot defeat depression while we have fear of things that don't exist in the reality, meaning things that most likely will / won't happen (doesn't matter).

Gratefulness, forgiveness, mindfulness of every moment / breath / the inner body. Notice that all these actions make us focus on the Now. To attain inner peace independent from happiness and sadness, we start by ceasing to think compulsively, as thoughts take us away from the Now, while all forms of conscious presence bring us closer.

You pause thinking every time you notice that you're thinking. It's the Quantum Zeno effect. Then, keep replacing thoughts with mindfulness.

Learning not to think or feel negatively takes effort but it's attainable by anyone who practices, as it rewires our brains. Nothing external can stop you, only aversion can. Those who say mindfulness doesn't work, don't practice it. But can you have benefits without practice? Really.

Instead of thinking happy thoughts, the objective is not to create unhappy thoughts.

Can we be unhappy when not thinking? Isn't mindfulness the most basic solution to sadness?

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Happiness isn't having what you want; it's being grateful for what you have.
The more we resent, so the more we wish for the past to have been different, the more we suffer.
And if we desire to to be happy in the future, we will never be happy in the present.
Whenever we live in the past or in the future, we don't feel joy.
Whenever we become timeless, we feel inner peace.
Whenever we're grateful for it, we become happy.

Even if we're sad, we can still feel inner peace. Psychological pain and fear are as illusionary as time is. If we feel them, we're not present: the primary sign we're not in control of our "selves"; our egos have taken over.

“Be at least as interested in your reactions as in the situation or person that causes you to react.”
- Eckhart Tolle - The Power of Now

Think of it like asking yourself "what da mind doin'?"

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That considered, are YOU your mind or are you something more? Do you cease to exist when you have no thoughts, feelings or emotions? Can you truly say "I think, therefore I am"? Therefore you are what ?

"If there were nothing but thought in you, you wouldn't even know you are thinking. You would be like a dreamer who doesn't know he is dreaming. You would be as identified with every thought as the dreamer is with every image in the dream."
- E. Tolle - TPON

And yet lucid dreams, even astral projections exist.

I reiterate. You aren't mind. Otherwise, you wouldn't be able to be conscious of your own thoughts as an observer, but you can observe your mind's activities passively using awareness, and eventually pause them while remaining the observer, the consciousness. But a conscious you is something your ego (the unconscious mind) cannot grasp. Don't try to understand it. Feel it. Be it. Once you notice what the mind is doing, you also notice you're beyond the mind. Therefore you don't think, but you are.