Severe anxiety and depression in my early twenties. I did two things: started exercising, hard. Many have already mentioned this, but I don't think it can be overstated. Work out. Or run. Or walk. Whatever works for you, but BE ACTIVE.
I also began studying Buddhism, and began meditating. There's something profoundly defusing about inquiry, in the moment. What is the sensation of anxiety, right now, in your body? What is the sensation of anxious thinking? It's all just sensation. Observe it, moment to moment.
Your mileage may vary, but it's worked for me. Good luck, dude.