I'm level 38, playing as Zer0, with 11k health and 6k shields. I'm experiencing the same thing you are - enemies rip my shields apart in 2-3 shots and I'm usually down to under 100 health in another couple hits. I think it's just enemies do WAY more damage in TVHM. Learn to respect and abuse the Last Stand/Second Wind system (though be careful - if you go long enough without dying and spamming Last Stand, eventually you get a ONE SECOND last stand), and also don't get pissed off if you die (even if a lot). Money comes and goes very rapidly in TVHM - I die every few minutes (no shame in admitting I'm bad at this game), but with the loot I pull I manage to keep a running balance of about $300k, unless I buy a particularly expensive weapon from Marcus.
In short, I don't think there's something you're missing, I just think TVHM is super-hard compared to playthrough 1. Also, a Survivor class mod with GREATLY increase your survivability.
Currently Playing: Borderlands 2 Selling: Purple Shooter's Sola Topi, S Half Zatioichi
I hear ya. Guess i'm just spoiled by playing as a Commando.
It's annoying as hell because i've got alot of gear set up but it's all lvl. 50 and i'm so damned certain that things will turn out great once i can access them. Getting there, though, is beginning to be a real kick to the soft and danglies.
Gunzerkers scale well and as such are very powerful endgame, but because you have to get close they're also the weakest character when your equipment is bad. Either farm better items or switch to a more defensive build until the drop rng favors you again.