Beevee said this recently and it's true. A far better word to describe this condition is 'depletion'. Because when we are depressed we are depleted of nervous energy, we are experiencing nervous exhaustion.
The depletion can be caused by anxiety or chronic lack of sleep or the consequence of grief or loss. And other things beside. We can certainly get depressed/depleted about having anxiety. For some of us it may be an inherited imbalance of chemicals but I know nothing about that.
The word depletion gives hope that when our nervous energy is restored, our anxiety relieved or we have come to accept our loss then we will be free of the affliction.