I would recommend NieA_7. Yes it's far from being the most depressing one, I know there's a lot of comedy in it. But for me it's one of the best animes about anxiety and depression so far.
Observing how slowly but surely the main character and some of her relatives fall into it, it looks so strangely realistic to me in a such fanciful story. And the comedy parts looks more and more like coping strategies from characters with poverty and discriminations struggles, episode by episode. It really looked like my life by moments (beside the Sci-Fi/Fantastic stuff), especially the parts about the social stigma against under-seven's, who are so much hated they are not even really considered as existing.
Maybe I'm partial because it's one of my favorite comedy anime. Also I still have to watch the second season.