Chronic anxiety is a state of hypervigilance, I think we can agree on that. But the threat response is meant to continue until the threat is over and then the system is supposed to go back to baseline. People with chronic anxiety for whatever reason, and the reasons can be myriad, have lost the ability to come back to safety. This could be generational, a parent with chronic anxiety who overwhelmed the developing child with their own anxiety and never provided any way to settle back to safety, or traumatic events, whatever. Returning to safety is both a letting go of the hypervigilant state AND activation of the parasympathetic nervous system. Depression is also not a single entity physiologically but it represents a kind of collapse and despair that can be lifelong, again from having no way to feel okay, from being surrounded by people who were depressed etc. This cannot possible be an elevated SNS state in the same way the an acute threat is.
Article Association of Depressive and Anxiety Symptoms With 24-Hour ...