Is my addiction worsening my depression or vice versa?

Works both ways. Depression may cause people to be drug or alcohol seeking, and drugs and alcohol are known to cause depression, even though in the short term they may feel as if they make you feel better.
Depression and SUD. The are. People suffering from depression tend to overuse illicit drugs or alcohol for a temporary relief. Long term it makes your depression worse and leads to even more frequent and severe substance abuse.