Wow this thread died a long long time ago...I thought we should bring it back to life...
To answer the question...I'm doing a Psychology BSc at the moment graduating next June and I have to say some aspects of the course did help me with my depression and anxiety.
First of all i chose an option module last year called the Psychology of Happiness. We learned stuff like how to appreciate what you already have, being optimistic, committing to your goals, finding a hobby, learning to forgive, being nice to people, avoiding social comparison and developing coping strategies.
I strongly recommend all of you who are depressed to read a book on Happiness/Positive psychology. Seligman's book is really good.
Secondly we had quite a few presentations to do throughout the course so we had a session on how to cope with anxiety when giving public speeches and we were taught a couple of relaxation techniques. That definitely helped with my SA.
Anyone else a psychology graduate or student? Or just interested in psychology and learnt stuff from books, etc?