Well, that may depend on what you need, and it may perhaps be a good idea to work with your therapist if you have one to determine the perfect pokémon for your situation.
If you’d like to know about what options you have before meeting with your doctor, some of the ones for anxiety are outlined here and here. It’s worth it to pay particularly close attention to the second link, as that describes in detail the way empathic resonance (or the act of “sharing an emotion” with another being) works in a therapeutic environment, which may be better suited to helping you through depressive episodes than aromatherapy, but really, many of the pokémon outlined in either post would work just as well.
Alternatively, for depression specifically, some people prefer to work with a pokémon known for empathy or affection, such as audino, the chansey line, or sylveon. Audino and chansey in particular are also typically medically trained (that is to say, they’re often frequently retired nurse pokémon), which means that not only are they capable of helping you through an episode, but they can also look after you in a medical sense as well. Other patients, meanwhile, prefer the company of popular pet pokémon such as growlithe, houndour, or clefairy, or pokémon that can be trained to hold conversations (either vocal or signed), such as chatot or jynx. All of these species are known to reduce stress through playtime or simple, straightforward interaction, so they’re ideal for more high-functioning individuals.
However, while it’s not exactly unheard of to have more than one service pokémon, you may find it easier to work with a single pokémon that can be empathic and help you through anxiety attacks, such as gardevoir or meowstic. As I’ve mentioned in the earlier posts, these pokémon are not only capable of giving off “comforting vibes,” as it were, but they’re also capable of foreseeing when an attack might happen, which allows them to be better prepared to step in than most other pokémon. Combine that with the aforementioned empathic resonance (or simply that some of the pokémon in this category are highly affectionate in a physical sense), and it’s easy to see why psychics tend to be rather popular as service pokémon.
Of course, I must emphasize that I can only mention options to you, and this should in no way be taken as medical advice, psychologically speaking or otherwise, as I’m possibly … not the least qualified individual to dispense medical advice but not exactly one who can legally offer any. Check with your doctor first (if you can) to go through these options or to find others I might not even be aware of. If you can’t get a doctor, most regions have their own social programs set up to connect individuals with social workers who can, in turn, help them find a suitable companion pokémon.
Best of luck, anonymous!
The Pokédex According to Bill 