Depression can, and sometimes does, go hand in hand with anxiety disorders. There are a few different kinds - general and social being the most common. These are no easy ways to deal with these, especially when you are dealing with sadness. Combating these disorders is important though, because if you cannot deal with them, then you won't be able to move past depression.
Social Anxiety Disorder comes from when you have trouble talking with people. Social situations are uncomfortable for you, tending to cause you to shrink away from talking with people. You might find that you sit down after a conversation and replay it in your head, looking for ways you came off looking bad, or stupid things that you said. General Anxiety Disorder is similar, although you feel anxiety in most situations, not only in social situations.
