I know exactly how you feel with the paranoia (thinking people can hear your thoughts and are watching you. I went through that too. I would actually make my husband get out of bed at night and look out the window to make sure there was no one there watching me. I also had hallucinations of people sitting around me, talking. Not talking to me, but to each other. That was scary. That goes along with the depression and I think you should explore medication to help. I actually went to a mental health facility for inpatient treatment when I was experiencing my extreme depression and paranoia. They prescribed me an antidepressant, and an anti-psychotic (which made the paranoia fade away).
If you talk to a counselor, I don't think it would be too bad on your anxiety, because it's one on one treatment. Usually counselors have their offices set up to be soothing and noninvasive, and they are used to talking to people with these types of problems.
Good luck to you in whatever you decide to do!