Depression
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Depression and Anxiety often go together (comorbidity). For some people depression is caused by anxiety, there mood is low because they are anxious and this stops them achieving their full potential. There is more on this at Does Anxiety Cause Depression?
There are others that are both anxious and depressed due to the same cause: low brain serotonin. Low serotonin though is not the only cause of depression, and getting a proper diagnosis and establishing the root of the problem can be hard. It is important to seek medical advice as to the best way to treat depression.
Some people can feel anxiety and depression as a result of Winter Blues (SAD). Certainly there are light boxes and vitamin D supplements that can help.
You can help yourself by following the advice in this article. It takes a purely psychological and spiritual approach and is called How to be Happy.
Also this blog post on anxiety and depression might be of interest to you.