I have to take dexamethasone for a procedure, but respond badly to it (anxiety, depression..) is there a medication to counter these side effects?

Warn your provider: Before the procedure, fully advise your team of your bad reaction - they can be prepared to help you minimize or counteract it better than anyone one else. Since those are fairly common reactions, they may be familiar w/ the issue. Also, this sounds like a short-term exposure and there may be few or weaker reactions. Be optimistic - I hope the procedure is successful and reaction mild.