Most GP's don't seem to realize that anxiety can cause depression, and if you treat the anxiety, the depression can fade. So, it's entirely possible that you have both, with the depression being caused from the anxiety. Depression gets more marketing and it's kinda the go to for a GP. It's been my experience, though, that to get a good mental health diagnosis and to get on the correct medication, you really need a psychiatrist.

I've had several GP's diagnose me with major depression - mostly, I think, because I get so anxious that I burst in to tears. My pdoc says there's probably some depression there, but it's caused by constantly battling the anxiety. As I've gotten better control of the anxiety, the depression has significantly faded. My pdoc did not feel that depression was my primary diagnosis - it's GAD, with some social anxiety and OCD thrown in just for fun.

Working with a psychiatrist and a therapist has done more for my anxiety than anything else.