When things start happening to your body that you have no control over, are uncomfortable and push you even further from who you are inside, it certainly can be depressing. I don't know too many people who make it through puberty unscathed - even if they didn't have gender issues.
For me, I most certainly got depressed. And that was an all new thing for me because up until around that time I led a pretty carefree and happy childhood for the most part. The doctor my mom was taking me to (which happened to be the same doctor who delivered me as a baby and knew about my physical "issues") put me on some form of estrogen because apparently (as I found out decades later) they all thought it was in my best interests to "develop stronger female secondary sex characteristics". Well, the only thing that happened is a grew tits (which I hate of course). I have atrophied female internal parts which never did really do anything, much to their dismay. So a surge of female hormones was injected into me and I literally wanted to die. When I actually said that to my mom, she never took me back to that doctor. But initially they didn't even tell me what they were doing. Like I didn't even have a choice in the matter.
So I definitely struggled with depression and anxiety a little later (I was in my mid 20's the first panic attack I ever had) but I'll tell you what did not work at all: antidepressents and antianxiety drugs.
Drugs (of any sort - legal or illegal) do not really change reality. I know HRT is hormones, but that really is a drug as well. Yes they're powerful enough to change your physical appearance, but they don't change the inside, don't get rid of female parts, etc. Surgery can get rid of female parts but that's another whole topic. And the antidepressants don't do anything to "cure" an underlying issue - they just mask symptoms until they stop working (by the way, doctors never usually tell you that part). I think there isn't a single "magic bullet" out there that's a fix-it-all. You'll probably have to do a combo of things to get to a point where you're simply comfortable. But my advice would be to look for alternatives to the psychiatric drugs.
We can't go back and change or erase puberty from our lives, but we can find ways to better deal with left over feelings and our present day bodies.