Anxiety is very common issue when someone is worried about a particular situation.
Depression is a chronic mental illness where part of the brain isn't working properly. A typical issue might be its inability to produce dopamine. That can have multiple causes but it isn't anything you can do much about other than seek a medical intervention. Another cause for depression can (I think) be related to a psychological trauma or become a chronic issue relating to stress. That form of depression can be "treated" with counselling.
One thing I did learn is that "stress" is a fantastically harmful situation for your overall wellbeing. Not just in terms of your state of mind but it can have very real physical effects on your body. Many years ago when my own illness manifest itself by switching off a section of my visual field, I had countless appointments with opticians before I finally managed to persuade someone to look for a brain related cause.
During the optical examinations the optician asked if I had recently been under any stress. Yes I reply, "Oh, that would explain the scarring on your retina". I mean WTF!! Seriously? Stress can do that? Yes. Apparently it can, worse things too but we digress.
Having been through the mill of brain related disease, it is my firm belief our medical system has no idea what's really going on and actually take pot shots at it to see if that helps... I think I got "lucky" with Methylprednisolone having a quite extraordinarily positive effect, though I am off it now, they need to find a long term solution that doesn't have such catastrophic effects everywhere else! (It's been a tough month!).