Best advise to control anxiety, and depression? Too embarrassed to ask my doctor face to face?

Your doc. you really do need to bring this up to your doctor,but if you do not feel comfortable doing this you need to schedule a consultation here in health.
Depression. If you are too embarrassed to talk with your doctor about your depression and anxiety then consult with a clinical psychologist who is trained and ready to help you without judging you.
Not a moral failing. Depression is not a moral failing, or weakness. It is due to chemical imbalance in the brain. You would not be embarrassed to seek treatment if you had diabetes, you should not be embarrassed to seek treatment for depression and/or anxiety. Effective treatment consist of taking a pill. Please discuss it with your doctor. You may say that Dr. Singh told you to talk to your doctor.