Why is it that when i'm feeling depressed this sets my anxiety off! such a vicious circle!

Break the Cycle: Depression and anxiety are often co-occurring issues. Being aware of your depressive symptoms can trigger feelings of frustration that result in anxiety. The best treatment is both psychotherapy and medication. Combining these with a commitment to treatment and realistic expectations will have the best treatment outcomes. Accept who you are and work on getting the help to be the best you can be.

Yes it is: Depression includes decrease in self esteem which leads to feelings of inadequacy and increased anxiety about your ability to do the things you need to do. When you are depressed you are also very indecisive which can lead to anxiety about what you should do. Of course the more anxious you get the more difficult it is to make decisions, etc.