How do you get through an anxiety attack and depression??

I have been going through with a lot of stress recently. And while I'm at or work or just relaxing I'll just start getting really bad anxiety and my depression kicks in. I have been trying to stop it on my own without anybody around me noticing but sometimes I just seem to not be able to control it. Any suggestions on what I should do? (And I don't want to go see a doctor for medication because the last time I went the anti-depressant made me feel worse...)