Anxiety and depression often go hand-in-hand. Anxiety can cause depression, and depression can cause anxiety. Sometimes it's really hard to tell the difference between the two, or to figure out which caused which!

Personally, if I can't tell which one came first (which for me is usually important to figure out how to help myself alleviate it) then I usually just look at what's been going on in my life. Am I depressed/anxious because I am alone too much and don't like where I am in life? Probably depression first. Am I anxious/depressed because I'm feeling overwhelmed with work? Probably anxiety first.