I remember my therapist asking me early in therapy which of those I thought was the bigger issue. As long as I'm not doing anything that threatens my safety, then I think I'm the best judge of what I need the most help with.

I agree with depression being familiar and anxiety getting in the way of every day life. Anxiety never feels familiar! I was in a very bad way with depression and anxiety when I started therapy, as in barely holding on and also too shared to try anything new or take any risks. Once I was holding on a little better because I had someone on my side who I instantly liked and trusted, I think it was the anxiety that I needed to work on. I had to have that under control enough so I could take risks and try new things and do the things that would then make the depression a little bit more manageable too.