I was hit with bad anxiety/panic out of nowhere (although I had some mild anxiety/nervousness for years prior), then the depression set it, and adrenal fatigue, etc....
I read an article by a MD actually about neurotransmitter replenishment (basically increasing your serotonin, dopamine, etc...levels) that at certain levels you might exerperience different symptoms. For example at one level you might have anxiety, at another headheaches, at another depression, but as you restore your levels you will eventually feel better. Replenishing neurotransmitters has to do with using amino acids, and possibly supporting co-factors including certain vitamins and minerals.....
Depression can cause anxiety as you don't feel normal and that might set off some anxiousness. Anxiety (especially severe and long term) can possibly cause you to burn up more of certain nutrients making you feel become depressed. For me, I ended up with anxiety/panic, depression, insomnia, and adrenal fatigue. :)
If you haven't gone on prescription meds yet, you might look at trying a natural approach to increasing your levels of neurotransmitters. It's working for me. I had issues with meds. And one problem with meds is if you are low in some of these neurotransmitters and your body isn't making enough, the meds might not work that well, or poop out quickly or take a very long time to work.
Here is some interesting info about replenishing neurotransmitters. http://www.drkaslow.com/html/neurotransmitter_repletion.html
I would talk to a doctor about a proper nutritional program to go on rather than trying it yourself. Most likely you will only find a ND to help you with this, not a MD.
There are other reasons why you could have some anxiety and/or depression. Hormone imbalances, adrenal fatigue, thyroid issues. If you can, you might get some basic testing done. That way you are not guessing at what to support.....
The other key is don't wait. The longer you wait to treat yourself, the worse you could possibly get, and then the more difficult and longer it may take to feel better. This is what happened to me. So, if you can try some natural things for a while and feel better that might be a good approach. If you are in really bad shape, then maybe some meds might be the way to start to calm things down. Either way, work with a doctor.... No matter how bad you may feel, you can feel better. Just finding the right treatment and being patient as your body recovers is key.
If you haven't used meds yet, and want some natural suggestions let me know. I've tried MANY. Some helped some didn't. But we are all different in how we may respond to something, but I can at least give you some suggestions of things to research and possibly try.