I don't know of any retreats, but mindfulness-based stress reduction programs can be very beneficial for anxiety, depression, and a multitude of other health or emotional concerns. I haven't done one, though I'd like to at some point. Similar programs but more specifically for mental health are partial hospitalization programs, sometimes known as intensive outpatient programs/therapy. Where you go daily for the full day, but go home at night as opposed to staying in the hospital. Good luck with your search!