Anxiety and Depression. Really harmful?

I was diagnosed with social anxiety and Depression almost three years ago...i took medicines but eventually left because they were causing side effects.I also have sleep problem,sometimes when i sleep i feel like a machine is running very fast inside my mind...the speed of it increases when i try to wake up and with that something my eyes start closing and opening at a fast speed and sometimes only one eye opens...i feel like i am going to die in my sleep when it happens because it is so much intense and painful...it is so painful but I don't know how to explain that pain...it feels like my mind is heating up...i try to wake up from it but i am not able to wake up.I wake up from it on its own and then i feel like it really happened and i feel like my mind is little heavy...is this situation really harmful?