What you put, as the process of assessment, is accurate. There seems to be a problem sometimes to get this process by some professionals to ensure that you have the right diagnosis, so you gain the right treatment.
It is not, in my opinion, satisfactory that they guess and continue to treat you for their guess. It might be the best thing to get another GP. You can change GPs, so, if you have done what the PCT has said with no change, then change GPs. But I would do what the PCT has advised, because, in a complaint, they then could say, but you didn't ask them.
So go back to your GP and try again, if no change, then change GPs and once you feel ok with the new GP and they review your simptoms, then complain. You don't have to complain straight away, you have a year, I think, to put a complaint in.
Do you have any ideas of why you are anxious and feeling depressed? If you have ideas where this is coming from then this will help you gain the right support. Not sure if this helps, but hope you can gain some understanding of what to do that will help resolve things for you