I was in a similar position applying for my first consulting job Post University in 2001. It was just after 9/11 and many firms had stopped recruiting. I had had good academics but still found it tough to even get an interview.
My advice would be to persist, persist persist. You have to make sure everything you do is of the highest quality. You have to be able to make your CV stand out. There are loads of books on this so I'd make a small investment.
At graduate level it's all about behaviour - they don't expect you to have a great deal of experience. They're looking for you to evidence the behaviours. It's no good saying your a good team player you have demonstrate when you have displayed these characteristics.
You want to think of examples when you've:
- Worked in a team
- Used your personal network to get something done
- Had to deal with ambiguity/complexity
- Took responsibility for your own development
- Worked towards a goal
- Influenced a group (through personal communication).
You can get this from uni experience, part time work, placements/intern or from club memberships etc. This should be the basis of writing your CV. You can structure using the STAR acronym (Situation, Task, Action, Result). Also good for answering interview questions.
I used a book called The Fast Track by Mariam Naficy and this website http://www.helpmegetaninterview.com/
Both were invaluable and worth every penny of the small investment I made. I applied to over 40 jobs and only got 2 interviews. Times were tough but I’m now battle hardened and the process has given me confidence and skills beyond my peers who walked straights into jobs and wondered what all the fuss was about.