Depression and Anxiety are both related. Anxiety is basically just a severe case of depression, and ultimately, if left untreated (and if stressors continue), the end result is a full blown nervous breakdown. All of it begins with stress and insufficient levels of neurotransmitters, such as seretonin. Seretonin levels can drop over time due to poor nutrition, high stress, or using drugs like ecstacy. If you have depression, or anxiety, you don't want to irritate the existing condition by putting more stress on yourself, or causing more adrenaline to be released. You surely can exercise and be active, but taking stimulants is contraindicated to taking anti-depressant medication. I'm not sure what kind of supplements you are considering, but caffeine and ephedrine can set off a massive panic attack, that will make you seek the nearest emergency room.

I knew a guy in the military who had lots of combat experience that led to depression, and then anxiety. They really didn't help treat his condition, and he tried to fight the anxiety, by doing even more exercise and more crazy shit, because he was angry that he was feeling so sad and weak. He wanted to force himself to overcome these new fears that suddenly developed. He started getting jumpy and eventually, he became totally paranoid and afraid to eat, and he started hearing voices and stuff. He ended up losing a ton of weight, because he was paranoid of food, and finally they kicked him out, which was unfortunate, because he really was an awesome sniper.

I would suggest just taking the medication to help yourself, and eat a balanced diet, and do a nice exercise program, but don't beat yourself up too hard over it. If you are overweight, just take your sweet time and modify your diet, and your body will change to your goals. But, the supplements that boost your metabolism will just make your condition worse, and even cutting down on sex can be a good idea when you have anxiety.

I would not suggest working out like a mad man, because the exercise is going to require neurotransmitter release as a response to the stress of exercise. I saw a women literally die because she was stressed over a divorce, and she worked out too hard, and her body and immune system just could not take it. Balance and moderation is the key...don't be impatient, and your depression will be lifted, and you will meet your goals.