My anxiety frequently leads to periods of depression and like bwkeys45, I have trouble telling them apart. I think what happens is that anxiety eventually burns me out and leaves me depressed.

Anyway, sounds to me like you have some issues with both. It's important to remember that a diagnosis is not a label for you but more of a tool to help professionals treat you (and file your insurance). Whichever it is it's important to get help if it's interfering with your life.

And yes, anxiety can pass without treatment for some people but it really comes down to what's causing it. Since you have a therapist, you may as well talk this out.