Hello. It does sound like some type of anxiety to me (maybe GAD?). Anyways, for a lot of people, anxiety causes them to feel depressed with suicidal thoughts. I suggest to tell your therapist, whomever, about your anxiety that has caused you to feel depressed so they treat both, but mainly the anxiety if that is what is causing the depression.
I am on Lexapro, and it has really helped with the generalized type of my social anxiety, but only slightly for my GAD. Zoloft was a mess for me, making me feel too tired all the time. Anyways, ask me anything if you need help

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DX: GAD; ASD; recurrent, treatment-resistant MDD; PTSD
RX: Prozac 20 mg; BuSpar 10 mg 2x a day; Ativan 0.5 mg PRN; Omega 3 Fish Oil; Trazodone, 50 mg (sleep); Melatonin 3-9 mg
Previous RX: Zoloft, 25-75mg; Lexapro 5-15mg; Luvox 25-50mg; Effexor XR 37.5-225mg
I have ASD so please be kind if I say something socially unacceptable. Thank you.