First off I would like to say never be nervous about telling your doctor how you feel. If you, the patient, feels like there is a problem then you should describe to your Doctor how you feel.

It really depends on the doctor if they will refer you right of the bat. It also depends on how severe your depression and anxiety is as well. I know from working with my doctor that he was the one you started me off on medication, but it finally reached a point that he did not feel comfortable treating me for my depression. That's when he referred me Psychiatrist.

It's been about a year now in my treatment. My anxiety levels have gone down, but due to a chain reaction of bad events my depression has been a constant battle, but I know for a fact that if I did not get treatment I would not be here today. So my friend I hope that you will discuss this with your doctor so they can start steering you to the better path.