Where do you want to start !.
A very simple way of putting it would be that as result of depression you almost by default can become worried about a great many simple everyday things due to your low mood. In turn you can become worried about being worried, if that makes sense. It's almost like a cycle of despair.
For instance you know that have a social event to go to in a months time . You're suffering from depression and no one knows, as your hiding it from everyone by putting on a brave face. You don't want to go to the Social event as it means mingling with people and making small talk. You possibly can't drink either as you're on meds. You don't fancy this at all as you're depressed and just want to stay in the house by yourself. You start worrying about this event weeks before it's due to happen, as each day ticks away your worry turns into anxiety. With each day nearer to the event the anxiety becomes worse to the point were it's actually close to crippling you. Mix this situation I used in with other everyday events, like a problem in work, an unexpected bill, domestic problems, exams, could be anything and you can see how anxiety can literally consume someone . Imagine feeling scared all the time and your getting there .
There's obviously a more technical explanation , but I ve tried to make it understandable.