Blood pressure is usually increased while being anxious. If it not alarmingly high or persistently high, nothing much is usually required to be done. Otherwise, it needs to be treated alongside treatment for depression/anxiety.
Anxiety/depression need to be managed effectively, not only to have a quality life, but also to stay physically better. There are widespread changes in all the body systems during a depressive/Anxiety Disorder and some changes can be irreversible also.
Next Steps
Discuss your concern with your Psychiatrist.