First, keep in mind that depression and anxiety often coexist. They also feed off each other. So most treatments that affect one will affect both. The mindfulness-based treatments are good because they teach greater tolerance of feelings with less emphasis on changing them. Paradoxically, once we learn to 'sit' with negative feelings and be less judgmental of them, they often abate. Acceptance and Commitment Therapy (ACT) is a good example of this sort of approach. With it, one can begin to see feelings as simply experiences rather than symptoms. They come, they go. And they go much more quickly when we don't increase our distress by feeling bad about feeling bad. On a more concrete and less cognitive level, you could try acupuncture. It is excellent at calming anxiety, and can also reduce depression. Not everyone responds, but some people get great results. (Note that the same is true of antidepressants.) Good Luck.
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