Anxiety does not necessarily cause depression. Quite often anxiety exists without depression of any sort. It was once put to me that like a gas cannister that’s been over-filled, the human mind/body breaks down at it’s weakest point. For some people that is depression, for others it is anxiety and panic attacks, even if their mood remains stable and optimistic. That is one reason why people with anxiety and panic spend so much time asking “why?”. Often the symptoms are attributed to situations like using the metro, which in reality had no effect on the onset of anxiety. If such people were to link their anxiety with low mood then they might not have ended up in the cycle of avoidance.
In other cases anxiety is accompanied by depression and vice versa. There are various possible reasons for this.
Sometimes an issue that is causing the depression is also causing anxiety (for example in the case of a bereavement). In such cases the resolution of the underlying cause, for example learning to cope with the grief and move forward, will be more than likely to resolve the accompanying anxiety.
Often, people who have a long term anxiety disorder become depressed by the limits the anxiety (or indeed panic attacks) place on their lives. The depression in this case would best be lifted by getting over the anxiety. The depressed person may tell themselves that there is no way out, that they will never get over their problems and be able to do the things they used to do. By proving these thoughts wrong, even if they only do it bit by bit, they can have great success with the depression. The main issue for them then would be to find a solution to their anxiety that works.
That said, the issue of anxiety and depression is something of a chicken and an egg. It is wise therefore to treat both the depression and the anxiety simultaneously. The standard treatment for anxiety and depression is Cognitive Behaviour Therapy and/or a medication such as SSRI’s (Prozac, Celexa etc) and Benzodiazapines (Valium, Xanax etc). There are many other approaches both from mainstream medicine and alternative/complimentary healthcare. The prognosis is good. Something works for everyone!