Thanks for this interesting question. I have a long history of depression + anxiety, but depression is my main complaint.

When my depression started getting better after a meds change last spring, the improvement in anxiety lagged somewhat. That led to some uncomfortable times until the anxiety also settled down after about two more months.

It did feel a little scary at first because I had been depressed pretty much non-stop for 2-3 years. Realizing that I was able to attempt things that I had been unsuccessful at doing for a long time made me feel a weird combination of excitement and anxiety.

I can't say that I ever missed feeling depressed. I had a good therapist at that time who helped me to move more towards the "excitement" about being able to do things again rather than feeling the anxiety.

If you have a good meds prescriber, I'd suggest talking to him/her about where you are now and ask their opinion about whether your anxiety is going to get better on your current meds or if they need to be adjusted.

I think maybe the fact that anxiety is your primary problem may cause you to have a different experience than I did, since depression is my main problem.