A friend of mine has this exact same diagnosis, so don't worry - you're not the only one!
My understanding of it is that you suffer from symptoms of both depression and anxiety to an equal extent, and that those symptoms of anxiety and depression 'work together' in causing you distress. So, you may not fit the criteria for depression in itself, or general anxiety disorder in itself, but the combination of the depressive and anxious symptoms you display demonstrate a clear negative impact on your health and warrant diagnosing. Going along these lines, the social phobia can remain a single diagnosis because you match the specific criteria for it.
Your psychiatrist may have another explanation so it's worth asking, but I hope that clarifies some things!
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