I had awful awful depression and anxiety when I drank. For a while, it didn't last long, and I would feel better within a day after a binge. Then as the years went on, it would last longer and longer, until it got to the point where I almost never felt ok. And it took almost nothing to get to that point, a glass or two of wine would do it. I was pretty much suicidal, in that I'd wake up in the morning wishing I hadn't. Thinking it would be better if I was just... gone. Never got to the point of planning to kill myself, but I'm pretty sure I would have if I had continued, at some point.
I think most people experience this to some extent. It's worse for people already prone to anxiety and depression, of course. I had been diagnosed with anxiety disorder and major depressive disorder while I was still drinking, so I didn't realize how much worse alcohol was making it, until I quit. I started feeling better within a couple of weeks. I was even able to taper off my meds at about 6 months, but did it with the blessing of my GP and therapist. I'd go back on them if I need to.