Internship search advice -- feeling dejected and lost

Hi all. Looking for some advice on my internship search.

For context, I am currently a junior at a small liberal arts school (non-target), majoring in math/econ. I am a student athlete, have numerous leadership roles, and have a 3.96 GPA. I was recently awarded a scholarship for having the highest GPA among student athletes at my school. I also have internship experience doing sales data analytics at an insurance firm (senior year of HS), and have some other minor finance experience as well. I have networked pretty hard (had about 40 calls w/ alumni asking for advice, feedback, etc.).

I have applied to dozens and dozens of internships over the past few months in consulting, banking, PE, and corporate strategy. For nearly all of these applications, I had at least one endorsement or referral from an alum, which I'm super grateful for. 

Unfortunately, I've had no success. I've only made it past the initial resume screening at two firms. I made it to the final round for each of these firms, but didn't receive an offer at either.

I understand this is a competitive environment, but I'm currently feeling a bit lost and frustrated. I've worked tirelessly over the past few years to set myself up for success in this search, but it hasn't seemed to help. I'm not sure what I'm doing wrong, or where to go next.

Any advice or feedback? Don't be afraid to be harsh; honesty is appreciated.

Thanks in advance.