Ok, you are in withdrawal, and sometimes there is a 'rebound of symptoms' which is the original symptoms only worse.
You need to see a better Doctor, why would you be given a steroid ?
I gave up this medication years ago, it takes 3 - 6 weeks to feel a bit normal, then you could see if you still have depression.
My Doctor gave me Lyrica, I took it once, it zoned me out for 24 hours, but got me through.
I would not take xanax, that is a temporary fix, not good. you wont know where you are with anything.
Be kind to yourself, lie down if you can, rest , tel people you are not feeling well, you are not superhuman, take care
Xanax is another bad idea. Those kind of medication are usually used for short term relieve of anxiety as they are very addictive and hard to stop once you are hooked on and this is why there is a debate right now about too much prescriptions of benzodiapines.
Xanax should be used for occasional insomia, panic attack and will often be prescribed daily but since you tried to stop Effexor I think it would be a bad idea to get hooked on another medication that is so hard to stop.
I'm not in a situation to say if you need medication but for now it is clear that the way to go with Effexor is taper off very slowly.
Consulting a psychologist would be good to get a diagnosis on mental issues if the Effexor was used for such purpose. I don't know if it is used for an off-label use and for anxiety/depression in your case.
A follow up is obviously needed.
M4