Depends on how sudden the episode is. If I am having very bad anxiety I also won't call anyone. I'm actually not good at that, period.
Alcohol provides a very quick, passive change. I find that exercise also provides a quick passive change. Passive in that my brain doesn't have to do anything other than make the commitment to move my body. Endorphins and dopamine do the rest. For me vigorous is the only way to handle anxiety. Depression can be relieved by a long walk outside. But anxiety requires an elevated heart rate for at least 30 minutes.
When I detoxed a couple of years ago I really had full on physical cravings for about 30 days. They would come on suddenly. Swear to God, I'd do as many burpees as I could, sets of 10. Do that for 20 minutes and the cravings would be gone. Try it. In a pinch it works.
Depression is different. Journaling, talk therapy, posting here to vent, mindfulness (in the form of learning that this moment is all there is), meditation through yoga ( I never was good at just a sittin there and meditating) and having a 'group' to relate to helps me.