Depression and Anxiety often appear together (co-morbidity). For some people, depression is caused by anxiety, there mood is low because they are anxious and this stops them achieving their full potential. For more on the link between the two read Does Anxiety Cause Depression?
Some people 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, colour-tinted glasses lenses and vitamin D supplements that are said to help some people lift their mood.
This article called How to be Happy takes a purely psychological and spiritual approach.
Also, this blog post on anxiety and depression might be of interest to you.