I found this book in my library last year and really liked it. It breaks down the different types of anxiety, and discusses how anxiety and depression can be mixed. It offers herbs and supplements based on your symptoms.
http://www.amazon.com/Healing-Anxiet...2943955&sr=8-1
He has another book Healing Anxiety Naturally, I think it's newer but I have not read it yet.
I suffer from moderate Anxiety and mild depression. Personally, I seem to do best when I take a multi, 2000 mg omega-3, and liquid b-12 daily. I'm sure there are lots helpful supplements. But if I try to take too many things on a daily basis I get overwhelmed. So I stick with those three.
I truly believe supplements are just as effective as prescription meds in most cases. Good luck, it's not an easy thing to deal with. But it can get better.