Cognitive Behavioural Therapy
CBT is one of the go-to modalities for looking at the connection between Thoughts and Feelings, and it is the gold standard for treating a number of ailments including Anxiety and Depression.
Mind Over Mood (Greenberger & Padesky)
This is the go-to reference/CBT workbook. It allows you to track your anxiety and depression, and has workbooks to do thought records, evidence technique and other well-known CBT tools.
Mindfulness can be incredibly helpful in assisting you with relaxation, and trying to be present in the moment. It is a helpful treatment for anxiety and many other ailments.