What a great post Dulaney. It's an interesting question you have raised. I don't think anxiety and depression are the same thing or even directly related, perhaps indirectly for some people though. I know of people who are quite anxious in general but are not depressed.
In relation to your question, I would agree that low self esteem comes before depression or in many cases it may be the catalyst for some peoples depression but not all. I wrote a post about overcoming depression permanently a while back on my site that may be of some help. The site link is below.
John
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