Mayo Clinic, Rochester, Minn. You can have both at the same time. Not the Same Depression and anxiety disorders are different, Adult mental depression people with depression often experience symptoms similar to those of an anxiety disorder, Adult mental depression as nervousness, irritability, and problems sleeping and concentrating. But each disorder has its own causes and its own emotional and behavioral symptoms. What do I need to know about my insurance benefits? We'd love your feedback. During these episodes, symptoms occur most of the day, nearly every day and may include:.