I wish I was taller but I'm not depressed over it. I don't really have social anxiety either but one of my friends has it and it seems so debilitating at times -- he literally had a panic attack when he started his new job.
I used to suffer from both. I think they tie in together somehow. I still have social anxiety but it's not bad like it was, I almost don't even have it anymore. Working out helps with anxiety and depression.