Often anxiety and depression can be seen as two sides of the same coin, " Can't have one without the other".

From my point of view, they are opposite: your anxiety says, "What's wrong with you? Get out bed!" The depression says, "Will you shut up, leave me alone, I don't want to anything."

Here's a fact: 70% of the people who are diagnosed with Depression experience an Anxiety Disorder and vice versa (70% of those diagnosed with Anxiety Disorder experience a depressive episode).
Depression does not necessarily cause anxiety but anxiety is a contributing factor to fueling a person's depressive symptoms.

These two links will be helpful in addressing your question:

https://www.mayoclinic.org/diseases-conditions/depression/expert-answers/depression-and-anxiety/faq-20057989

https://www.calmclinic.com/anxiety-depression

A number of possible reasons, such as guilt and embarrassment. Thinking the worst and thinking others might feel or think about you in a negative way, etc.