Everyone experiences stress and anxiety at one time or another. The difference between them is that stress is a response to a threat in a situation. Anxiety is a reaction to the stress. And when the stress response fails to shut off and reset after a difficult situation has passed, it can lead to depression in susceptible people.
A little stress in life is good for you as it keeps you alert, motivated and in some situation mobilize the body to respond, improving performance. However, chronic stress could lead to anxiety and depression which is detrimental to your mental, physical, and emotional health.
Since I don’t know what is causing anxiety, stress, and depression in your life, it is very hard for me to offer further advice. But in general, it is important that you know your triggers and be able to identify early warning signs. Have you considered seeking a medical help or talking to a therapist? In the meanwhile, when you feel anxious, consider taking deep breath several times a day, engage in some physical activity, say an encouraging statement every day, avoid any mood altering substance/caffeine/alcohol, and do something you enjoy.
These simple tips may not solve your depression or fix stressful situation in your life but it will at least provide you a little get away and offer a different perspective in life. If your anxiety, stress, and depression is affecting your personal and professional life, it is best to seek medical help immediately.