I think that the fact that you are self aware and doing this in private is normal. I talk to myself in the shower a lot. I have pretend conversations too. However, these conversations are rehearsal for a situation coming up or I need to deal with (ex. an interview for volunteering, what I need to say at support group).

As for the Anxiety and Depression. See your family doctor. You have a family history of it which is a great place for her/him to start. A GP has limited skills when it comes to mental illness but they have enough knowledge to make a quick assessment and tell if someone needs more help than s/he can give. Just a recommendation though, since we are talking about anxiety and depression, make sure you talk to the doctor about how and if you experience any joy.

I am of the opinion that one should avoid "Dr Google" and try to self-diagnose.