Depression

I went to the doctor not to long ago to only find out that I have an iron deficiency and clinical depression.I've been seeing a therapist but it's not working.I also have really bad anxiety, but I'm afraid that if I take a pill to help me it'll "change me" I guess? If that makes any sense? I just can't be around a lot of people at the same time, and what doesn't help is that I go to a big school so it's like everyone is coming at me. Any advice?😭