Sapolsky

"Consider a rat trained to press a lever to avoid mild shocks—a task readily mastered. The anticipatory sense of mastery might well activate the rat’s dopaminergic projections to the frontal cortex. And when glucocorticoid secretion is moderate—as would be the case in this scenario—the hormone enhances dopamine release.

Suppose, however, that the lever has been disconnected; pressing it no longer prevents shocks. Initially wildly reactive hypervigilance occurs in the rat as it presses the lever continually or begins other repetitive behaviors, hoping to regain control over the shocks. When these disorganized, frantic behaviors persist long after the shocks have stopped, along with chronic sympathetic activation and elevated epinephrine secretion, we see the essence of anxiety.

But in some rats, as the shocks continue and coping attempts fail, a transition takes place: the coping behaviors stop—the animal has learned to be helpless. The stress response becomes more dominated by high glucocorticoid levels than by epinephrine, and brain chemistry begins to resemble that seen in depression. If anxiety is a crackling brushfire, depression can be a suffocating quilt thrown on top of it".

Robert Sapolsky