Although I haven't conquered my own demons here, life becomes much easier when you know know that this is actually very common amongst intelligent people. In other words, this is only natural.
Accepting that the anxiety and depression are natural side effects of being a rabid thinker has actually helped me deal with it better. The anxiety and depression is still there, and I have my moments, but knowing that it is a natural phenomenon gives me a peace I would not have had otherwise.
It's not surprising to me that many programmers and deep thinkers end up practicing some form of Buddhism; getting away from the now is what our egos are trying to do constantly. Feeding your head with information is the geek's way of hiding from the present moment.
It seems as if I am always there; never here. And that is the origin of my depression/anxiety problems.