There are any number of studies and mounting evidence that yoga does indeed help with depression and anxiety. The studies show that the combination of deep breathing and movement help to improve the mood.

Yoga helps with anxiety and stress as well-- because it increases the Heart Rate Variability (HRV) which helps us learn how to be more adaptive to stressful things in the environment. When we're doing more rigorous movement we increase our heart rate and move the body more into the Sympathetic Nervous System (associated with fight or flight). When we deep breathe and do more relaxing postures the heart rate slows we move back into the Parasympathetic Nervous System (sense of calm). Training the body to move between these two systems on a regular basis teaches us how to deal with stress and anxiety more effectively. In our modern society where it's go go go, we are often stressed and don't even know it. I've had issues with anxiety during some difficult times in the past and I've seen firsthand how doing yoga can help greatly.

There are a number of articles on these topics if you want to do more research. I'll be doing more practices sessions over time addressing these issues as well.

Here are just a couple links:
https://www.health.harvard.edu/mind-and-mood/yoga-for-anxiety-and-depression
https://time.com/4695558/yoga-breathing-depression/