The Domain Matters
Something to note-- an AdTech (advertising-technology) firm will have different values, cultures, goals, and people than a FinTech (financial-technology). The engineering groups will be especially different in terms of pace of work, culture, and dress code.
Working at Jane Street is a completely different experience than working at Etsy. Be careful when generalizing the software industry, and look for opportunities aligned to your personality and interests. You can also use this to your advantage. If you are coming to software from a different industry, your past relevant experience is extremely valuable.
Think about it-- a large part of the job of a developer is to translate business requirements into logic. If you already know the requirements; whether it be finance, the law, compliance, medicine, biology, mathematics, or even music; your vantage point will be strongly appreciated as a software engineer.
If you're coming from finance, look at fintech startups or software engineering roles at banks. Or if you used to make music, Spotify or Pandora might be more willing to give you a interview when you talk about how you built a music collection app in your spare time. At the very least, you'll be able to connect to the product more.