Depression can, and sometimes does, go hand in hand with anxiety disorders. There are a few different kinds - general and social being the most common. These are no easy ways to deal with these, especially when you are dealing with sadness. Combating these disorders is important though, because if you cannot deal with them, then you won't be able to move past depression.

Social Anxiety Disorder comes from when you have trouble talking with people. Social situations are uncomfortable for you, tending to cause you to shrink away from talking with people. You might find that you sit down after a conversation and replay it in your head, looking for ways you came off looking bad, or stupid things that you said. General Anxiety Disorder is similar, although you feel anxiety in most situations, not only in social situations.

Nervousness around people can be a problem because without social interactions, you will find problems getting past it. In order to start, you need to accept that you might not be able to be perfect when dealing with other people. You might say something that is not a total gem, but you should be okay with that. You need to accept that people will like you for what you bring to the conversation and not analyze everything. That last part is key, if you sit back and reanalyze everything, you will never get past the anxiety. Instead you will compound it. Try to find a way to keep the conversation in a field where you are comfortable when you start. Move it slowly, allow it to drift from your area of expertise, but not too quickly. Otherwise, you might find that you are going to get too nervous and be unable to function. That is not the way to improve.