Xanax is not an anti-depressant, it is anti-anxiety, and therefore meant to be sedating. Xanax is fairly fast-acting and is entirely out of your system within a couple days. If you're having issues with depression you should be on an anti-depressant, not Xanax.
As others have pointed out, Xanax is not an anti-depressant. It is "is used to treat anxiety and panic disorders. It belongs to a class of medications called benzodiazepines which act on the brain and nerves (central nervous system) to produce a calming effect. It works by enhancing the effects of a certain natural chemical in the body (GABA)."
Depression is not listed as a common side effect for Xanax, however because it tends to be a "downer" it may be triggering depression with you. You may need an anti-depressant in addition to the Xanax or look into other medications that will not cause the depression. However if you are being treated for depression with Xanax, it is not the intended use for this medication. I highly suggest that if you are experiencing depression from it that you contact the doctor that prescribed it to you.
Good luck to you and please call your doctor. It is very important that you receive the best medication to treat your illness. Many times medications need to be changed, sometimes several times to find the right one.
I was prescribed xanax after my Mother passed away last year. It has helped me. It took months to really work well.
I think if a person isn't truly depressed, and then takes meds for it, it backfires and causes the opposite. Just like with Ritalin. If you need it, it slows you down. Because your body is getting what it needs. If you take it an are not adhd, then it backfires and speeds you up. See what I mean? Doctors need to very careful on prescribing this stuff.