I'd start by seeing a psychologist, as they're the ones with the most training in mental problems. They can diagnose you, and maybe help you figure this out. If you need more they can recommend that as well. Try to find one who specializes in anxiety -- those who don't are pretty useless for anxiety problems. Your doctor might be helpful, but isn't a specialist in these kinds of problems, which is why I'd start with a psychologist rather than doctors who are really just taught to use medications. They might be necessary, but hopefully you can beat this without them.
Hmm, depressed to have anxiety (sounds a lot like my initiation to anxiety -- I was clueless about the need to deal with anxiety or the how, so ended up with a major sleep problem, eventually started hallucinating, experienced deep depression and needed six months on prozac to straighten me out).
So, your main problem is anxiety (correct?). And you recognize that if you can reduce your nervous tension (relax), you'll largely have solved your problem and not become depressed. Well if that's what you're saying you're very perceptive for a newcomer to anxiety. What anxiety coping methods if any have you tried so far?
You could report to a doctor, who would screen you for anxiety and/or depression (often using a questionnaire, the value in that approach is in follow-up results to see if you're changing, for the better or worse). I've many anxiety management tips in my profile's Journal if you're keen on self-help methods.