Anxiety and depression tends to consume us, especially when the symptoms are the worst. We become overwhelmed by how we feel and the way it impairs our life.
Therefore we lose awareness of a lot of things going on around us. They get 'tuned out' because we feel so crappy we can't deal with anything but the most critical things.
Thus we don't remember things because we were not aware of them enough at the time to commit them to memory.
Of course medication plays a role in here too. They effect this awareness as well. Our brains are adjusting to chemical changes due to the medication, as well as the disorder.
We can't expect everything to work perfectly during a time of illness. If you break a leg, you can't expect to continue playing sports the same way you normally have until it's better. In the same respect we are forced to realize the limitations that come along with anxiety and depression and hopefully understand they don't have to be permanent if properly treated.
Speak with your prescribing doctor about this, it may be the meds but only he will know for sure. If it is, he can tweak the dosage or switch meds completely to avoid this side effect. Don't abruptly stop your meds, call your doctor and see what he wants you to do. Take care.....