I've heard that "depression is fear of the past and anxiety is fear of the future." I pondered this for quite awhile and went through the events in my life where I could recall the situation I was in when my symptoms started up.
I found that the saying is exactly true! When I felt depressed, what ever I was thinking about had to do with something I had done, or that someone else had done. I felt depressed when I felt like a failure - something I didn't do well enough in the past. The times I felt anxiety were when I was thinking about something I had to do, like speak in public or testify in a court trial.
The first step in being about to overcome depression and anxiety is to learn to recognize what is immediately causing it to appear. After that, you can learn to deal with it!