Years ago, at least in some settings, psychiatrists had ordered some tests (at least labs, if not more) before prescribing or while prescribing. These tests would, hopefully, detect hypothyroidism, issues with cortisol, anemia and other conditions which might cause, or add to, a depression and/or anxiety. If indicated, psychiatrists had also ordered ECGs and EEGs, neuro. consults, etc.
More recently, as I talk with people starting psychiatric care, or under psychiatric care, I am dismayed when they tell me neither their GP/PCP nor their treating psychiatrist has done even basic lab work before, or in addition to, initiating treatments. I find this is also reported, often, with people consulting with the psychiatrists highly specialized in the use of meds, "psychopharmacologists."
Very disconcerting.
If you are feeling depressed, and have not had related testing, please advocate for yourself and tell your treating psychiatrist you want other conditions investigated/ruled-out. A competent psychiatrist will either initiate the related testing or will refer you to someone able to order/oversee the testing/consults. Some psychiatrists will, with your expressed permission (via a written HIPPA release in the U.S.), coordinate testing and consults through your GP/PCP.
Group hug!

DejaVu