Anxiety caused depression waves that come and go.

Every antidepressant has side effects, in many cases 2-4 .  I tried like 20 and they did nothing for me and I mean NOTHING besides giving me side effects.  Xanas and Diazepam were the only 2 that helped and I had to stop xanax because it also gave me a side effect but did work fine for sometime.  Now, for me it was easy to get out of xanas because I always took a low dose and the same with Diazepam which I'm still taking (low dose) because I still have one medical condition so my Doc is waiting to see if the problem is resolved so he can get me out of it.   Now, for some people they do work and every person is diferent. But at the end you still have to change medication because side effects will kick right when you start or at the long run when it comes to antidepressants. 

Benodiazepine medications have their uses but can cause depression, a lot of people find them helpful for short periods such as adjusting to medication and waiting for it to work but really the whole benzo family is the cause of a lot of problems.

Saying that you may not get any of those listed side effects, everyone is different and it's easy to worry ourselves by reading the possibilities.

Anxiety itself can make you very depressed so obviously dealing with that will help a lot although I appreciate that Paxil wont work instantly, I would try not to panic about the depression, I know how awful it is but take a step back and remember that with the Paxil you should get relief from anxiety and depression and when you are no longer needing a benzo like Xanax you will probably find that the depression will lift quite a lot anyway.

Don't stop Xanax suddenly but do think about how you will reduce it when you no longer need it, I cannot stress enough that these medications are awful for depression so the key is to focus on your long term plan and that will be to wait for the Paxil to work and then gradually remove the Xanax.

Quit being trying to be your own doctor! Yes it can cause depression. Medications have to be listed with every side effect possible, lawsuits, etc.  Not to mention medication affect everyone differently.  Your antidepressant when working fully will conteract the depression.  But you also need to be in the solution of dealing with your depression, CBT, positive thinking, etc, and not wholy rely on medications.  Meds. are to help your mood to focus on other solutions.  That is why medication and counseling are recommended together to get the best benefits of overcoming depression and anxiety.