The number one -MOST- important thing when seeking help for your anxiety/depression is being your own advocate. You have to see a few different doctors before finding the one that truly fits you. This is extremely important to your treatment.
The first doctor I sought simply watched me cry in a cold exam room and put me on Prozac (Fluoxetine). I took it, and it seemed to help some, but over time it really stopped doing anything for me. I went off of it, eventually, and went back to trying to deal with everything by myself.
The doctor I'm seeing now is very involved in the effectiveness of my current medication, and always encourages me to tell him if something needs to change. I went to a doctor's office where they do a "meet and greet" with your chosen physician before your initial appointment. I really loved that, so always ask the office you're approaching if they do something like that. If they don't usually do something like that, request it. It's worth asking.
If you are married or in a relationship, it is a good idea to bring your significant other with you to your first appointment. If you are unattached, but you have someone you spend a lot of time with, they might be a good option to bring along. The reason for this is that they may observe things in you that you may not even notice. I took my husband to my appointment, and he pointed out that he doesn't even take me to the grocery store. He had observed so many things about me that I found insignificant, but really gave my doctor insight into exactly what was going on with me. Without that extra information, I may be taking medication that doesn't suit my needs.
BE YOUR OWN ADVOCATE. Stand up for yourself, seek the treatment you deserve, and find someone to put in your support system.