Why is depression and anxiety corralated?

Anxiety. Depression shares several features with anxiety such as energy/sleep/appetite changes, worrying, avoidance, somatic complaints, etc.
The brain is complex. Our modern concept of both these mood disorders suspects brain messenger chemicals play an important role in how you feel.We think seratonin, gaba, epinephrine, and many other substances may be imbalanced leading to your discomfort.If we can use anti-depressant / antianxiety rx's like the ssri's instead of habit forming rx like benzodiazopams such as valium we do.