Feelings of guilt are a completely normal thing to struggle with along with depression and anxiety.
I don't have much to suggest other than to realise that they're not based in anything real - ie you having done something wrong, or even if they're collecting around a memory where you did something wrong, the magnitude of the feelings does not necessarily stem from the actual situation they're collecting around, if that makes sense.
You would be feeling guilty regardless of whether there were any events in your recent past that could feasibly give rise to feelings of guilt. So just acknowledge the feeling and then let it go, knowing that it's a trick your mind is playing on you. Mindfulness is supposed to be about this kind of thing, right? Might be worth reading a thing or two there. And it's definitely worth continuing to get your depression and anxiety under better control. The feelings of guilt will pretty much go when the rest does. But work on letting the feeling drift away instead of analysing why you might be experiencing it - there is no logical reason.