Depression and anxiety go hand in hand. I work in the medical field and have never seen true anxiety that did not include depression (just situation anxiety which isn't considered a mental illness).

Anxiety is treated with two medications. One is by taking anti depressants which are daily and build up in your system over a period of 2-6 weeks before you reach therapeutic levels.

The second is a narcotic take as needed anxiety med. These are a "band-aid" type med, not aimed at solving the problem, but to help you get through a moment of increased anxiety. They should be taken sparingly due to their addictive nature and make many people unable to function at their previous level. I have only even had one client get prescribed the take as needed med and not an anti depressant to go along with it, and in that case the person was experiencing situation anxiety as opposed to generalized anxiety disorder.

I would talk about your concerns more with your psychiatrist to see what (s)he says, but would imagine taking the antidepressant isn't a bad way to go.