How can I combat this depression?

I am a healthy 21 year old woman. I am still in college (last semester). I have always been an overachiever and have been involved in everything on campus. However, I have also had severe anxiety. I am currently seeing a therapist for my anxiety and extreme sensitivity and have never been on medications for any mental disorders. Recently, however, I have noticed a change in my behavior. I cry on the drop of a hat. If I see something on TV that is really not that sad, I still cry. Sometimes I just sit around and cry for nothing. I usually work out, but instead, I haven't worked out in months and I keep eating bad food. I also can't drag myself out of bed in the mornings--I am usually one to wake up very early no matter how late I go to bed. And, everytime I wake up in the morning, I get this "Well, here we go...another day-- woo hoo" sarcastic attitude. It's like I just wish I could sleep all the time. No, I never think about harming myself or anything like that. I just feel a little less active and very vulneable. Does anxiety have a link to depression? And does what I am going through now sound like depression? Because I have been feeling like this for awhile, should I go talk to my doctor?