Woah, sleeping pills are a last resort by all means. Only to be recommended by a doctor. You say you are experiencing depression and anxiety? So whatever you have going on in your life is a problem. First step you need to do is confront this anxiety, and tell yourself that you are depressed. You are depressed, and you need to find yourself a goal, or something to pursue.
If you accomplish this first step, the sleep will follow. But until then, I strongly recommend exercise. Some type of method to completely exhaust you. Not only will this make you tired enough to sleep, but it will take your mind off of anxiety, and depression. You will feel happier with exercise, believe me. Quit sitting at home being depressed, and go for a run.
Okay. I'm going to guess you lie in your bed a lot because you tell me you have difficulties falling asleep. That's because your brain no longer associates your bed with sleep. It's vital that you refrain from lying in your bed unless you are going to sleep. This is key. Listen to that. Also, refrain from using much brain function before you go to bed. This includes electronics because of the light that shines into your eyes. Also, music at a low volume helps your mind reach serenity.
I know at times I may sound harsh, but everything I say is sincere. Feel free to talk to me further.