I have a few bits of advice for what they're worth. 1) follow your interests/passions. When I was an undergrad I wanted to major in art history/studio art/film theory/English but got talked into Poli Sci because "humanities majors can't get a job". This is NOT TRUE.
2) Be open to whatever path life leads you. As a result of the above I ended up working in a variety of careers including residential care for adults with disabilities (where I organized craft nights, produced a newsletter on community activities etc) and study abroad (where I worked with the art schools & students) so I tried to incorporate it into whatever I was doing.
3) Don't give up! I eventually went to library school thinking "I am going to be an art librarian". At first I was told I couldn't because of the poli sci degree, so I went to work at a law firm, but eventually I quit the firm, got an internship in an art school library, and now I am a slide/digital image librarian, and it's awesome. It's not like being a studio artist, but I work with artists, art historians and amazing images, I get to mess with photoshop and slide/digital production, and it all inspires my own work. I am more productive with my own art than ever before. Sometimes the right fit isn't exactly where/what you were looking for.
4) Call/email people who have interesting sounding jobs and ask if you can interview them. This is scary at first but most people love to talk about themselves and love to encourage interested people. This is not asking FOR a job but asking them questions about THEIR jobs. Write down your questions in advance, be prepared, polite, and don't stay more than 15-20 minutes. Just tell them you are exploring potential careers in the arts and want to learn from them. They will say no if they can't do it, but usually they are impressed with your initaitive.I was terrified when I started this but most people were more than happy to talk to me, and I would never have heard the term "visual resources curator" if I had not done it...and now I am one!
5) Volunteer, network. I volunteered for a while in a museum, and was offered a part time job. It never led to full time as I hoped but I did meet lots of people, added it to my resume, and got good references, so it definitely helped. There are often volunteer opportunities in all kinds of arts organizations, and the people in that community tend to know each other, so get out there and chat with people, you'll have interesting conversations and may just learn about a career path you never thought of or an opportunity you can pursue. A lot of people in the arts like the opportunity to informally mentor and encourage younger/less experienced folks, so you will likely find people who are receptive to your dreams. Join groups, classes, attend openings, volunteer to take tickets, whatever: get involved. You will help build your local art scene as well as your career.
I hope this is helpful, this is something we all struggle with, but the biggest obstacle is fear and insecurity. that sounds like a cliche but only because it's true. Have you read the Sabrina Ward Harrison books? I adore her, and she's very inspiring when doubt starts creeping up. http://www.sabrinawardharrison.com