Yes, there is a difference between the two, however, psychiatrists are finding more and more that anxiety is often accompanied by depression.
I Imagine your doctor prescribed you Paxil or some med along these lines. These are typically prescribed for ant-depression, but have also been found to be very helpful in treating anxiety as well.
More than likely your doctor wants to try this med out first because it is non-habit forming and less intense than bezodiazapines(valium, xanax, Klonpin etc..)
Do you experience anxiety attacks?
How severe is your anxiety?
If so you may need to resort to tranqulizers, but for the time being follow your doctor's suggestions and see how it goes.
Good Luck
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