One alternative approach I have seen and practiced myself is to wilfully head towards situations which cause you anxiety. Regular exposure can reassure your mind that the situation is actually non threatening, lessening the anxious response.You sound a bit like me, I have certain triggers. I can be fine but if something happens that I don't like I immediately go into anxiety mode, I'll have a panic attack if I don't get out of the situation.
I avoid the triggers to avoid the anxiety but then you can't live a full life, which makes me depressed. For me, it's the things I can't do because of my anxiety disorders that make me depressed. I am being treated for both.
Depending on the severity this may need to be managed by a qualified care giver.
An example could be someone with social anxiety who deliberately makes an effort to speak in public or meet new people. While it may not cure social anxiety it can help manage it so it doesn't dominate your life. Avoiding these scenarios helps in the short term but can also make the problem worse over time.