3 weeks on 20 mg citalopram. Anxiety is significantly reduced, sleep is better but depression increased. Is this common until I get used to med?

Please call doc. Not usually. With relief from anxiety and good sleep during the first 3 weeks of treatment, a depressed person may become active enough to act on suicidal thoughts. Please contact your primary care doctor or psychiatrist right away if you are thinking or intending to hurt yourself or someone else. I am not sure what you mean by "worse". Do you mean a worsening of depressed sad mood? Call doctor.
Maybe. The apparent increased depression may result from less distraction from the other symptoms. It takes about 6 weeks to know what the effects of the citalopram will be. I would continue on it for that period of time unless the depression was sufficiently severe to interfere with day to day function or unless there were suicidal thoughts and urges, in which case you should consult your physician.
Probably. It is good that your anxiety is better, isn't it? Getting used to a medication like this can take a month or so. Exercise can also help with both anxiety and depression while you wait. Then you are doing another positive thing to get better, besides deciding to get treatment. So good for you! But, if the depression is so bad you are feeling like hurting yourself call your doc right away!
Although. ^ depressed mood has been reported as a side effect - I wonder if you are more aware of depressive symptoms now that anxious symptoms have reduced.