Put some happiness in your relaxation routine
I think many people including myself suffer from both anxiety and some tendency to feel blue.
Anxious thoughts can be a distraction from sad thoughts.
I think in the past I have had a hard time with relaxation techniques because a quiet empty mind seems to me depressing place. The quietness of relaxation to me seemed like being stuck inside a house on a raining day with nothing to do.
I have seen with some sick friends that business can keep one's mind off one's problems.
For me, I think I have been more able to deal with my anxiety as I feel less blue. However, I also put something deliberate happy and upbeat in my relaxation. Much of guided imagery is more upbeat than straight meditation. In some of these imageries, they use images of healing lights, warmth and energy.
Sometimes when doing relaxations exercises I will use the words "serene" or "content" rather than "relaxed" because they are happier words.
Right now I use a combination of meditation and visualization. I will picture the sun in my mind when I meditate or warm healing light traveling through my body.
Here is a link to a smiling meditation:http://www.yogajournal.com/practice/747
In short, I have found it helpful to make it so that when my mind through relaxation slows down, that it finds a happy place.