Hi there.
I have also been diagnosed with MDD and GAD, but I think that you were able to verbalize how they tend to feed each other in a way that I have not been able to do. Thank you for that.
One method that my t has suggested to ease my anxiety is something called a body scan. Basically you focus on one part of the body at a time. You can start at your toes or your head. My t starts at the top of the head, and imagine pushing out your stress and anxiety as your work your way down to your toes. My t suggests to practice it when I am not in the middle of a panic attack first. It helps immensely.
Here's a link:
I also keep a journal as well. This helps me try to sort out my feelings. Even writing about when I feel empty helps as well.
I hope this helps. And good luck with your insurance as well.