People are referred to CBT under NHS for both depression and anxiety. For some it works, for others it doesn't. People are different and respond to things differently. CBT is supposed to be really effective at challenging negative thinking, looking at alternative more positive way of seeing and behaving in situations. The belief is that negative thoughts create negative feelings and behaviours. Both depression and anxiety are considered to be due to negative thinking, ideas, unhelpful habits. CBT works in the here and now. I have tried this myself type of therapy but didn't turn out well.