Does your depression and anxiety involve any addiction? Were you raised in a home where there was addiction? If so, 12-Step groups are always free. Otherwise, try calling the psych depts at Rush, Northwestern, or the Univ of Chicago hospitals. Ask if they have any free programs or groups for people who need help. Good luck.
There is a depression/anxiety group therapy for free in Chicago called Beyond OCD. The group is considered as part of an overall treatment regimen. Check out http://beyondocd.org/ for more particulars.