Hey there and welcome aboard the anti-depressant express.
You've asked quite a few questions so I'm going to try to be as clear and unconfusing as I can be. Please feel free to ask more questions, since subjects like these tend to create more questions and the first ones are answered.
First, my qualifications!!

I was on Paxil for 3 years. I'm now off of Paxil and have been off for 4 months. Paxil is similar to Effexor as it's a seratonin reuptake inhibitor. So I know where you are, where you're going, and where you want to be. I hope it helps to know there are other people out there pulling their hair, too. I suffer from situational depression, anxiety, panic disorder and I'm obsessive-compulsive to boot. Yeah me!! LOL! My depression culminated in chest pain and panic attacks shortly after 9/11. I did do talk therapy in conjunction with the Paxil and here comes the answer to one of your questions...
Talk therapy is good. Alone, it can be as effective as taking an antidepressant. Antidepressants are good. Alone, they can be as effective as talk therapy. But when you combine them, you get a synergistic effect that basically doubles your benefit. Doing both gets you better, faster. There are substitutes you can use for therapy and writing in a journal is one of the best subs. Write what you feel. Then read it, and ask some tough questions. Then answer them. Then complain, moan, be pitiful and then set goals and coach yourself to be strong. Or cry. It doesn't matter really as long as you put down your raw emotions and let it go onto the paper. It's the act of getting it out. That's what you're looking to do in therapy.
After taking the meds for about 2 weeks, you will adjust. I felt "floaty" for a couple of weeks and then I felt pretty calm. Then I got normal. Then I passed normal and ended up a zombie. Then I got off the meds. It was hard for me as I turned out to be one of the 25% of people who seem to get a physical addiction to the non-addictive drug!! I had horrible withdrawls and used a tapering method to get free of the drug. I had some pretty rocky spots, but now, I'm glad I'm off.
I'm quoting you: "I wonder if I am truly clinically depressed or if I am just a victim of my current life circumstances. Once they change (once I fix what is wrong) will I be likely to be un-depressed? or un-anxiety?"
Well, you can be clinically depressed OR you may be a victim. Either way, the drug can help you through. If you really are depressed, the drug can turn it around and let you get your head together and then you can be free of the depression. Some people have life-long ailments that will never be cured like Bipolar disorder. Other people like me (and you, it sounds like, but I'm not a doctor...) can have what's known as a situational depression. Mine came about as a result of the 9/11 situation combined with the divorce of my parents and unhappiness at my job. I now have a new job and my life is good. My situational depression has been lifted because of the drug therapy, talk therapy, journal writing, exercise and changing my situation by changing jobs.
Anxiety is usually a symptom of depression, therefore when the depression abates, the anxiety usually goes as well.
As for the question of do you need the drug, I'd advise getting a second opinion. There are also some self tests that you can take. Some symptoms of depression are lack of motivation, disinterest in previously interesting things, irritability, lack of libido, sleeping too much or insomnia, anxiety, panic attacks... But I'd seriously make a follow-up appointment with your doc and seek alternative treatment if you're unhappy with the antidepressant.
You might also look into a diet supplement called 5-HTP. That's short for 5-hydroxytriptophan (or something like that!!). It's an amino acid that is the direct precursor to seratonin. It's made from plant seeds. It's not approved for long term use. I used it to help get myself off of Paxil. When I took it, my seratonin levels increased, thus easing the withdrawl symptoms. But when I stopped taking the 5-HTP, I'd get the headache and light sensitivity, but not to the extent that I did going off the Paxil without it. It was do-able. For a short term, non-drug solution, it could be feasable, but you seriously want to check with your doc before persuing that route as it could be dangerous if you're pregnant or taking certain other medications.
I hope I didn't confuse you too much, and I hope I've answered more quesitons than I've created here. But if you want to ask more, ask away. I'll help you any way I can.