For me, when in a depressed state - the best coping method I use is sleep. Close the doors, maybe keep the window ajar and have a pitch black room with maybe soothing music in the background. Or if you are more active, I find that exercising is just as good as it releases endorphines which eases depression. Lastly, distract or pamper yourself. Nothing is better than taking a nice hot bubble bath and relaxing. Maybe even light a few candles? aha
I know some people use cutting and throwing up to cope with depression but it is never the answer. Believe me I have tried. It may provide some sort of relief but that temporary relief results in permanent damage of scars - for which will be noticeable and throat damage - due to the concentrated acid from your stomach that is being thrown up with the food which can also cause your teeth to rot. (Bit grim sorry!) Always always always treat your body like a temple - even through this difficult period of your life.
Now with anxiety - I dunno if you know these already but my CAHMS therapist showed me 3 kind of techniques with coping with anxiety.
1. The 5,4,3,2,1 method - Use your senses. 5 things you can see, 4 things you can touch, 3 things you can hear, 2 things you can taste (a bit tricky sometimes) as well as 1 thing you can smell. It gets you to focus on your surroundings and help you to become more laid back and calm. (helps in exams)
2. Imagine your dream location. Close your eyes and use the previous method as if you were there. Imagine things you would want to see, touch, smell, taste and hear.
3. The most simplest one is just to take deep breaths. inhale through your nose and exhale through your mouth at least 10 times. It gets you to focus on your breathing and calm you down.
I was on that waiting list since May and haven't heard anything since. I hope you have more luck than I did.
Hope this helps! x