For me it's mainly anxiety especially when it comes to relationships and my (in)ability to create a proper life for myself.. Being depressed is a 'side effect' which isn't great but I know it could be worse.
I wouldn't say one is worse than the other. Throughout a lot of my life the two have tended to flip flop as to which is more, er, pronounced you could say. I'll have phases of my life when depression is the issue I need to focus more on, and then I will have phases when its the anxiety I have to focus on. I don't think either one ever completely disappears, but one usually overshadows the other.
For me depression is worse as it has taken a hold of my life, as I have gotten older I have withdrawn more and more from people. Anxiety is more in the background, however if I try anything new then the anxiety goes into overdrive. In my opinion anxiety and depression creates an almost escape proof prison cell.