Both Chamomile and Valerian Root are available in capsule form and both are good for anxiety. Chamomile is a bit milder, Valerian Root almost as strong a some pharmaceuticals.
You can also brew Chamomile in tea, but use 3-4 teabags per cup, to make it very strong. I've been told that's the equivalent of a Xanax, but having never taken Xanax, I can't verify that.
For chronic depression, Turmeric has been proven to be very effective - also available in capsule form.
If you have sleep issues, try Melatonin. It's available in several dosage strengths and works rather quickly.
All of these are natural and over-the-counter legal, available in virtually any vitamin section. No side effects (chamomile might give a touch of heartburn on an empty stomach, your mileage may vary).
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"I don't mean to sound bitter, cynical or cruel - but I am, so that's how it comes out." - Bill Hicks