One medication may not be an immediate magic bullet; like Suzz said we're all different and the medications affect us all differently. I'm on Celexa (generic citalopram) for anxiety and depression both.
The most important thing here is that you have a meaningful dialogue with your doctor going about your symptoms and your course of treatment. My doctor is one of the few people I am completely open and honest with about my own depression and anxiety; she has been an enormous help.
For what it's worth, my mother has been on both Zoloft, Celexa, and Lexapro (which is a derivative of Celexa) without problems, and had issues with Paxil. Don't dismiss antidepressants out of hand because of a bad experience with Paxil--Paxil is a very tricky medicine that does not work well with others sometimes
But the most important thing is that you talk to your doctor about this and keep talking
That's better than any medicine out there.