How can I deal with anxiety calmly if I have major depression?

Ideally, your are in. Treatment for the major depression and the anxiety. And you are correct, it can be very hard to deal with anxiety calmly when you are depressed. Talk with your doctor about your anxiety as well as the depression. There are medications that can help with both!
Openly & curiously. Get in psychotherapy to explore & resolve underlying issues... Familiarize urself with mindfulness meditation. Adopt, overall, an open & curious mindset as u witness ur experience (anxiety & depression included)... Also learn eft/tapping, a very powerful self help tool. Yoga practice is a wonderful addition too. Wishing you well!