I ve bene there and belive me, i know how it is.
Setting goals at rough times works for very few people, mostly for those who have more comparative nature-becouse at setting goals you focus on "what i should" and this makes you feel guilt.
Do small steps and be proud even on small achivements. When depression, anxiety hits you can be hard even to get out of the bed, go to work, shop, go for a walk,..do normal stuff.
So you shouldnt focus on big goals, but just to push enough yourslef from a comfort zone whatever this is (get out of bed, read that book you want, cook a meal, ho out ti socialize...)
And after time you really become more comfortable...so you do a new steps further.

Remember that depression and anxiety are most of the time caused becouse of lack of selflove, selfrespect and feelings of guilt.

Love yourself, learning how to say NO (to things and people you dont want and need in life) and know that is ok sometimes also to fail. Is a process od life, ups and downs,... But if you are down, this doesnt mean that you ll be stuck there for long.